V-Lab: Fast Retailing Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fast Retailing Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:28.35% (-0.92%)

Analysis last updated: Thursday, May 2, 2024 at 11:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8523	5.97
$α$	0.1032	6.74
$β$	0.8015	26.13
$γ_{1}$	0.0040	0.10
$γ_{2}$	-0.0803	-1.43
$γ_{3}$	0.1446	4.49
$γ_{4}$	-0.1064	-3.78
$γ_{5}$	0.0546	1.94
$γ_{6}$	-0.0160	-0.62
$γ_{7}$	0.0005	0.03

Estimation Period:
Sep 15, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts