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

V-Lab

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V-Lab

Kajima Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:25.13% (-1.30%)

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
$ω$	1.0504	6.89
$α$	0.1081	8.86
$β$	0.7844	32.17
$γ_{1}$	-0.0512	-1.08
$γ_{2}$	0.1727	2.41
$γ_{3}$	-0.2198	-4.41
$γ_{4}$	0.0891	2.05
$γ_{5}$	0.0941	2.39
$γ_{6}$	-0.1851	-4.22
$γ_{7}$	0.1486	2.89
$γ_{8}$	-0.0579	-1.04
$γ_{9}$	0.0208	0.42
$γ_{10}$	-0.0136	-0.41

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

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