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

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V-Lab

West Japan Railway Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:40.54% (-2.02%)

Analysis last updated: Saturday, May 4, 2024 at 11:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5187	3.78
$α$	0.0834	6.33
$β$	0.8970	54.70
$γ_{1}$	-0.2008	-5.45
$γ_{2}$	0.2740	4.99
$γ_{3}$	-0.1152	-2.84
$γ_{4}$	0.0783	2.09
$γ_{5}$	-0.0409	-1.24
$γ_{6}$	-0.0031	-0.12

Estimation Period:
Oct 8, 1996 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts