V-Lab: Komatsu Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Komatsu Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:60.14% (+28.12%)

Analysis last updated: Wednesday, May 1, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1771	7.59
$α$	0.0895	9.05
$β$	0.8735	66.67
$γ_{1}$	0.0444	3.68
$γ_{2}$	-0.0711	-3.82
$γ_{3}$	0.0345	2.53
$γ_{4}$	-0.0067	-0.59
$γ_{5}$	-0.0014	-0.18

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts