V-Lab: Komatsu Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Komatsu Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:27.16% (+0.77%)

Analysis last updated: Wednesday, April 17, 2024 at 11:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1750	7.58
$α$	0.0894	9.03
$β$	0.8734	66.55
$γ_{1}$	0.0444	3.67
$γ_{2}$	-0.0711	-3.82
$γ_{3}$	0.0346	2.53
$γ_{4}$	-0.0069	-0.61
$γ_{5}$	-0.0011	-0.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts