V-Lab: Yamato Holdings Co Ltd Spline-GARCH Volatility Analysis

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V-Lab

Yamato Holdings Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:54.79% (-3.32%)

Analysis last updated: Wednesday, May 15, 2024 at 02:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5447	9.28
$α$	0.0811	7.95
$β$	0.8709	56.79
$γ_{1}$	0.0654	7.15
$γ_{2}$	-0.0944	-6.55
$γ_{3}$	0.0385	3.41
$γ_{4}$	-0.0053	-0.39
$γ_{5}$	-0.0145	-0.50

Estimation Period:
Jan 3, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts