V-Lab: Denka Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Denka Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:28.80% (-2.20%)

Analysis last updated: Sunday, April 21, 2024 at 01:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8062	7.98
$α$	0.1326	8.32
$β$	0.7337	25.16
$γ_{1}$	-0.1996	-4.51
$γ_{2}$	0.3246	4.92
$γ_{3}$	-0.1644	-3.67
$γ_{4}$	-0.0668	-1.67
$γ_{5}$	0.3052	8.77
$γ_{6}$	-0.3612	-10.13
$γ_{7}$	0.2376	6.17
$γ_{8}$	-0.0927	-2.31
$γ_{9}$	0.0152	0.32
$γ_{10}$	0.0062	0.13

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

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