V-Lab: Toho Co Ltd/Tokyo Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Toho Co Ltd/Tokyo Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:21.95% (-1.36%)

Analysis last updated: Saturday, May 4, 2024 at 11:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0487	6.33
$α$	0.1396	8.89
$β$	0.7721	32.26
$γ_{1}$	-0.1041	-1.85
$γ_{2}$	0.1627	1.94
$γ_{3}$	-0.0828	-1.51
$γ_{4}$	-0.0092	-0.21
$γ_{5}$	0.1279	3.07
$γ_{6}$	-0.2203	-4.70
$γ_{7}$	0.2447	4.66
$γ_{8}$	-0.1771	-3.41
$γ_{9}$	0.0630	1.34
$γ_{10}$	-0.0004	-0.01

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts