V-Lab: Daiwa House Industry Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Daiwa House Industry Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:22.59% (-0.85%)

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
$ω$	1.0698	5.51
$α$	0.0815	9.79
$β$	0.8897	79.21
$γ_{1}$	-0.1398	-2.52
$γ_{2}$	0.3603	4.13
$γ_{3}$	-0.3517	-4.34
$γ_{4}$	0.0930	1.23
$γ_{5}$	0.1558	2.70
$γ_{6}$	-0.2502	-3.74
$γ_{7}$	0.2249	2.74
$γ_{8}$	-0.1121	-1.33
$γ_{9}$	-0.0059	-0.07
$γ_{10}$	0.0460	0.83

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Daiwa House Industry Co Ltd Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH