V-Lab: Kajima Corp Spline-GARCH Volatility Analysis

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V-Lab

Kajima Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:44.43% (-3.74%)

Analysis last updated: Sunday, May 19, 2024 at 02:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9813	6.57
$α$	0.1082	8.92
$β$	0.7847	32.15
$γ_{1}$	-0.0796	-1.67
$γ_{2}$	0.2143	2.99
$γ_{3}$	-0.2414	-4.82
$γ_{4}$	0.1021	2.34
$γ_{5}$	0.0883	2.22
$γ_{6}$	-0.1844	-4.18
$γ_{7}$	0.1465	2.82
$γ_{8}$	-0.0439	-0.76
$γ_{9}$	-0.0181	-0.32
$γ_{10}$	0.0968	1.10

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

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