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

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V-Lab

Fujitsu Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:26.19% (-0.67%)

Analysis last updated: Thursday, May 2, 2024 at 09:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9772	7.71
$α$	0.0891	6.73
$β$	0.8054	29.87
$γ_{1}$	-0.0314	-0.78
$γ_{2}$	0.0622	1.07
$γ_{3}$	0.0272	0.70
$γ_{4}$	-0.2005	-6.11
$γ_{5}$	0.2780	8.02
$γ_{6}$	-0.2283	-4.77
$γ_{7}$	0.1613	2.55
$γ_{8}$	-0.1329	-1.68
$γ_{9}$	0.1014	1.22
$γ_{10}$	-0.0417	-0.76

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

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