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

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V-Lab

Keio Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:23.82% (-0.50%)

Analysis last updated: Sunday, April 21, 2024 at 12:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7539	5.99
$α$	0.1150	8.23
$β$	0.8313	45.25
$γ_{1}$	0.0070	0.22
$γ_{2}$	0.0623	1.20
$γ_{3}$	-0.1743	-3.93
$γ_{4}$	0.1959	4.93
$γ_{5}$	-0.1373	-4.18
$γ_{6}$	0.0753	2.39
$γ_{7}$	-0.0389	-1.46
$γ_{8}$	0.0063	0.36

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

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Volatility Forecasts

Volatility Forecasts