V-Lab: Dentsu Group Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Dentsu Group Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:25.77% (-0.80%)

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
$ω$	1.2758	3.69
$α$	0.0935	5.86
$β$	0.8208	28.98
$γ_{1}$	-0.0844	-0.75
$γ_{2}$	0.2616	1.68
$γ_{3}$	-0.3506	-4.03
$γ_{4}$	0.3229	4.28
$γ_{5}$	-0.2846	-4.13
$γ_{6}$	0.2489	3.57
$γ_{7}$	-0.1985	-2.43
$γ_{8}$	0.1201	1.75

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts