V-Lab: Taisei Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Taisei Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:46.48% (-1.18%)

Analysis last updated: Sunday, May 19, 2024 at 02:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0969	7.85
$α$	0.1298	8.84
$β$	0.7607	30.94
$γ_{1}$	-0.0185	-0.40
$γ_{2}$	0.1131	1.61
$γ_{3}$	-0.1393	-2.73
$γ_{4}$	-0.0430	-0.98
$γ_{5}$	0.2169	5.42
$γ_{6}$	-0.2202	-5.57
$γ_{7}$	0.1013	2.15
$γ_{8}$	0.0447	0.77
$γ_{9}$	-0.1240	-1.73
$γ_{10}$	0.2064	1.95

Estimation Period:
Jan 3, 1990 to May 17, 2024

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Volatility Forecasts

Volatility Forecasts