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

V-Lab

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V-Lab

East Japan Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:24.96% (-1.79%)

Analysis last updated: Saturday, May 11, 2024 at 04:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8586	3.26
$α$	0.1214	7.98
$β$	0.8341	42.10
$γ_{1}$	0.0742	1.44
$γ_{2}$	-0.1774	-2.58
$γ_{3}$	0.1907	5.35
$γ_{4}$	-0.1352	-4.05
$γ_{5}$	0.0453	1.52
$γ_{6}$	0.0451	1.21
$γ_{7}$	-0.1276	-1.55

Estimation Period:
Oct 26, 1993 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts