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

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V-Lab

Shimizu Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:26.75% (-1.33%)

Analysis last updated: Wednesday, May 8, 2024 at 12:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9991	8.34
$α$	0.1195	7.28
$β$	0.7633	26.12
$γ_{1}$	-0.0376	-0.76
$γ_{2}$	0.1174	1.59
$γ_{3}$	-0.1403	-3.16
$γ_{4}$	0.0261	0.74
$γ_{5}$	0.1206	3.51
$γ_{6}$	-0.1743	-4.44
$γ_{7}$	0.1470	3.27
$γ_{8}$	-0.0914	-2.09
$γ_{9}$	0.0666	1.40
$γ_{10}$	-0.0500	-1.22

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

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