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

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V-Lab

Hitachi Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:32.88% (+1.90%)

Analysis last updated: Sunday, April 21, 2024 at 01:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0788	7.84
$α$	0.0791	8.99
$β$	0.8699	63.56
$γ_{1}$	0.0239	0.95
$γ_{2}$	0.0282	0.76
$γ_{3}$	-0.1539	-5.44
$γ_{4}$	0.1950	6.25
$γ_{5}$	-0.1451	-4.06
$γ_{6}$	0.0603	1.81
$γ_{7}$	-0.0008	-0.03
$γ_{8}$	-0.0101	-0.52

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

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Volatility Forecasts