V-Lab: East Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

East Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.68% (-1.38%)

Analysis last updated: Friday, May 3, 2024 at 11:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8641	3.08
$α$	0.1216	8.00
$β$	0.8389	43.94
$γ_{1}$	0.0696	1.29
$γ_{2}$	-0.1706	-2.37
$γ_{3}$	0.1883	5.05
$γ_{4}$	-0.1374	-3.95
$γ_{5}$	0.0563	1.89
$γ_{6}$	0.0089	0.35
$γ_{7}$	-0.0214	-1.12

Estimation Period:
Oct 26, 1993 to May 2, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts