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

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V-Lab

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

Volatility Prediction for Friday, April 19th, 2024:19.38% (-0.30%)

Analysis last updated: Saturday, April 20, 2024 at 02:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0669	5.50
$α$	0.0819	9.79
$β$	0.8892	78.74
$γ_{1}$	-0.1416	-2.53
$γ_{2}$	0.3624	4.10
$γ_{3}$	-0.3490	-4.23
$γ_{4}$	0.0845	1.11
$γ_{5}$	0.1672	2.85
$γ_{6}$	-0.2609	-3.78
$γ_{7}$	0.2325	2.78
$γ_{8}$	-0.1174	-1.38
$γ_{9}$	-0.0010	-0.01
$γ_{10}$	0.0424	0.78

Estimation Period:
Jan 3, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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