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

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V-Lab

Denka Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:19.85% (-1.35%)

Analysis last updated: Thursday, May 2, 2024 at 10:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7613	7.74
$α$	0.1337	8.32
$β$	0.7284	24.53
$γ_{1}$	-0.2238	-5.14
$γ_{2}$	0.3595	5.55
$γ_{3}$	-0.1781	-4.03
$γ_{4}$	-0.0677	-1.72
$γ_{5}$	0.3184	9.25
$γ_{6}$	-0.3834	-10.88
$γ_{7}$	0.2664	6.84
$γ_{8}$	-0.1310	-2.95
$γ_{9}$	0.0781	1.17
$γ_{10}$	-0.1417	-1.25

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

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Volatility Forecasts

Volatility Forecasts