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

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V-Lab

Kajima Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.81% (-0.77%)

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
$ω$	1.0377	6.81
$α$	0.1118	8.94
$β$	0.7765	30.91
$γ_{1}$	-0.0532	-1.12
$γ_{2}$	0.1727	2.41
$γ_{3}$	-0.2149	-4.31
$γ_{4}$	0.0847	1.95
$γ_{5}$	0.0952	2.42
$γ_{6}$	-0.1829	-4.15
$γ_{7}$	0.1441	2.78
$γ_{8}$	-0.0509	-0.90
$γ_{9}$	0.0129	0.26
$γ_{10}$	-0.0088	-0.26

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

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