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

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V-Lab

Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.24% (-1.47%)

Analysis last updated: Sunday, April 21, 2024 at 02:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1346	7.91
$α$	0.1257	8.68
$β$	0.7714	32.17
$γ_{1}$	-0.0045	-0.09
$γ_{2}$	0.0928	1.28
$γ_{3}$	-0.1300	-2.50
$γ_{4}$	-0.0461	-1.03
$γ_{5}$	0.2151	5.23
$γ_{6}$	-0.2176	-5.36
$γ_{7}$	0.1062	2.17
$γ_{8}$	0.0199	0.34
$γ_{9}$	-0.0566	-0.84
$γ_{10}$	0.0244	0.43

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

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