V-Lab: Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:28.67% (-2.07%)

Analysis last updated: Sunday, May 5, 2024 at 12:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1137	7.82
$α$	0.1257	8.63
$β$	0.7673	31.24
$γ_{1}$	-0.0010	-0.02
$γ_{2}$	0.0854	1.18
$γ_{3}$	-0.1255	-2.42
$γ_{4}$	-0.0446	-1.01
$γ_{5}$	0.2104	5.17
$γ_{6}$	-0.2130	-5.31
$γ_{7}$	0.1035	2.17
$γ_{8}$	0.0208	0.37
$γ_{9}$	-0.0574	-0.88
$γ_{10}$	0.0253	0.46

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

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Volatility Forecasts

Volatility Forecasts