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

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V-Lab

Denka Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:25.77% (+1.69%)

Analysis last updated: Wednesday, May 1, 2024 at 11:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8078	7.99
$α$	0.1326	8.32
$β$	0.7337	25.12
$γ_{1}$	-0.1987	-4.50
$γ_{2}$	0.3237	4.92
$γ_{3}$	-0.1654	-3.71
$γ_{4}$	-0.0643	-1.62
$γ_{5}$	0.3027	8.74
$γ_{6}$	-0.3606	-10.16
$γ_{7}$	0.2387	6.21
$γ_{8}$	-0.0941	-2.35
$γ_{9}$	0.0156	0.33
$γ_{10}$	0.0066	0.14

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

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