V-Lab: Hanshin Machinery Co Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Hanshin Machinery Co Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:57.79% (-0.43%)

Analysis last updated: Sunday, April 21, 2024 at 12:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7933	5.41
$α$	0.0874	6.88
$β$	0.8782	50.46
$γ_{1}$	0.0595	1.57
$γ_{2}$	-0.0936	-1.72
$γ_{3}$	-0.0269	-0.63
$γ_{4}$	0.1802	3.58
$γ_{5}$	-0.2461	-5.07
$γ_{6}$	0.2331	5.64
$γ_{7}$	-0.1493	-3.09
$γ_{8}$	0.0452	1.00

Estimation Period:
Jan 3, 1990 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts