V-Lab: Daishin Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Daishin Securities Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.72% (+0.23%)

Analysis last updated: Saturday, April 27, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8382	7.77
$α$	0.0850	8.62
$β$	0.8618	54.11
$γ_{1}$	0.0110	0.30
$γ_{2}$	0.0707	1.26
$γ_{3}$	-0.2357	-5.86
$γ_{4}$	0.2389	6.20
$γ_{5}$	-0.1286	-3.19
$γ_{6}$	0.0690	1.70
$γ_{7}$	-0.0007	-0.02
$γ_{8}$	-0.0599	-1.45
$γ_{9}$	0.0535	1.60

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Daishin Securities Co Ltd Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH