V-Lab: Dentsu Group Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Dentsu Group Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.13% (-0.94%)

Analysis last updated: Sunday, April 21, 2024 at 01:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2522	3.56
$α$	0.0937	5.87
$β$	0.8203	28.85
$γ_{1}$	-0.0920	-0.79
$γ_{2}$	0.2717	1.70
$γ_{3}$	-0.3543	-4.04
$γ_{4}$	0.3238	4.28
$γ_{5}$	-0.2832	-4.10
$γ_{6}$	0.2453	3.49
$γ_{7}$	-0.1934	-2.35
$γ_{8}$	0.1158	1.68

Estimation Period:
Nov 30, 2001 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts