V-Lab: Hanshin Construction Spline-GARCH Volatility Analysis

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V-Lab

Hanshin Construction Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.33% (-2.71%)

Analysis last updated: Sunday, April 21, 2024 at 12:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7080	5.46
$α$	0.1795	10.37
$β$	0.7220	27.85
$γ_{1}$	0.0236	0.44
$γ_{2}$	0.0364	0.47
$γ_{3}$	-0.1366	-2.61
$γ_{4}$	0.0096	0.18
$γ_{5}$	0.1682	3.36
$γ_{6}$	-0.1706	-3.51
$γ_{7}$	0.1573	2.97
$γ_{8}$	-0.1996	-3.73
$γ_{9}$	0.2489	4.28
$γ_{10}$	-0.4019	-4.53

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

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