V-Lab: Denso Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Denso Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.14% (+0.83%)

Analysis last updated: Sunday, April 21, 2024 at 01:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8870	5.47
$α$	0.0807	9.19
$β$	0.8792	68.06
$γ_{1}$	-0.1837	-2.62
$γ_{2}$	0.3900	3.94
$γ_{3}$	-0.3537	-6.11
$γ_{4}$	0.1546	2.55
$γ_{5}$	0.0801	1.32
$γ_{6}$	-0.1744	-2.95
$γ_{7}$	0.1192	1.91
$γ_{8}$	-0.0371	-0.62
$γ_{9}$	0.0242	0.48
$γ_{10}$	-0.0328	-1.00

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

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Volatility Forecasts

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