V-Lab: Dentsu Group Inc MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Dentsu Group Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:25.35% (-1.07%)

Analysis last updated: Sunday, April 28, 2024 at 01:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0614	14.39
$β$	0.7253	50.25
$γ$	0.0771	10.65
$λ_{1}$	0.2219	1.16
$λ_{2}$	0.1338	1.38
$λ_{3}$	0.8145	5.86

Estimation Period:
Nov 30, 2001 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts