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

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V-Lab

Central Japan Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.50% (-0.52%)

Analysis last updated: Thursday, May 16, 2024 at 11:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2992	4.30
$α$	0.1108	6.03
$β$	0.8215	31.53
$γ_{1}$	-0.3555	-1.93
$γ_{2}$	0.2234	0.85
$γ_{3}$	0.3656	2.96
$γ_{4}$	-0.3585	-4.05
$γ_{5}$	0.0784	0.88
$γ_{6}$	0.2058	1.98
$γ_{7}$	-0.3839	-3.77
$γ_{8}$	0.4713	5.13
$γ_{9}$	-0.4588	-4.91
$γ_{10}$	0.3563	2.40

Estimation Period:
Oct 8, 1997 to May 10, 2024

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Volatility Forecasts

Volatility Forecasts