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

V-Lab

| |

V-Lab

Dentsu Group Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.23% (-0.97%)

Analysis last updated: Sunday, April 21, 2024 at 01:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2535	3.61
$α$	0.0939	5.85
$β$	0.8193	28.71
$γ_{1}$	-0.0975	-0.85
$γ_{2}$	0.2829	1.79
$γ_{3}$	-0.3649	-4.19
$γ_{4}$	0.3324	4.41
$γ_{5}$	-0.2881	-4.16
$γ_{6}$	0.2436	3.33
$γ_{7}$	-0.1790	-1.86
$γ_{8}$	0.0698	0.49

Estimation Period:
Nov 30, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts