V-Lab: Nippon Yusen KK Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nippon Yusen KK Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:41.30% (-1.63%)

Analysis last updated: Saturday, May 4, 2024 at 11:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2922	6.84
$α$	0.0838	9.55
$β$	0.8831	76.12
$γ_{1}$	-0.0106	-0.26
$γ_{2}$	0.0969	1.52
$γ_{3}$	-0.1892	-4.62
$γ_{4}$	0.1787	5.45
$γ_{5}$	-0.1122	-3.25
$γ_{6}$	0.0319	0.82
$γ_{7}$	0.0434	1.22
$γ_{8}$	-0.0651	-2.45

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts