V-Lab: Daiwa House Industry Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Daiwa House Industry Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.78% (+1.57%)

Analysis last updated: Sunday, April 21, 2024 at 02:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0676	5.50
$α$	0.0818	9.79
$β$	0.8892	78.83
$γ_{1}$	-0.1411	-2.52
$γ_{2}$	0.3619	4.11
$γ_{3}$	-0.3500	-4.27
$γ_{4}$	0.0874	1.15
$γ_{5}$	0.1634	2.80
$γ_{6}$	-0.2574	-3.77
$γ_{7}$	0.2300	2.77
$γ_{8}$	-0.1157	-1.37
$γ_{9}$	-0.0028	-0.03
$γ_{10}$	0.0440	0.80

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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