V-Lab: Hanshin Machinery Co Spline-GARCH Volatility Analysis

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V-Lab

Hanshin Machinery Co Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:47.22% (-2.34%)

Analysis last updated: Saturday, April 27, 2024 at 11:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7253	5.13
$α$	0.0889	6.46
$β$	0.8642	41.14
$γ_{1}$	0.0113	0.18
$γ_{2}$	0.0532	0.56
$γ_{3}$	-0.2180	-2.96
$γ_{4}$	0.2029	2.97
$γ_{5}$	0.0680	0.89
$γ_{6}$	-0.3075	-3.96
$γ_{7}$	0.3423	4.04
$γ_{8}$	-0.2192	-2.31
$γ_{9}$	0.1396	1.75
$γ_{10}$	-0.2370	-1.42

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

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Volatility Forecasts