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

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V-Lab

Mitsubishi Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:28.58% (-1.04%)

Analysis last updated: Sunday, April 21, 2024 at 12:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4073	6.38
$α$	0.0829	8.77
$β$	0.8647	57.29
$γ_{1}$	0.0074	0.12
$γ_{2}$	0.0669	0.70
$γ_{3}$	-0.1211	-1.79
$γ_{4}$	-0.0004	-0.01
$γ_{5}$	0.1633	3.38
$γ_{6}$	-0.2558	-5.38
$γ_{7}$	0.2348	4.52
$γ_{8}$	-0.1422	-2.54
$γ_{9}$	0.1045	1.90
$γ_{10}$	-0.0898	-2.24

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

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