V-Lab: Obayashi Corp MF2-GARCH Volatility Analysis

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V-Lab

Obayashi Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:37.78% (-1.35%)

Analysis last updated: Sunday, April 28, 2024 at 02:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1119	25.79
$β$	0.7007	70.01
$γ$	0.0536	8.46
$λ_{1}$	0.0305	3.36
$λ_{2}$	0.0253	4.95
$λ_{3}$	0.9686	148.37

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts