V-Lab: Denso Corp MF2-GARCH Volatility Analysis

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V-Lab

Denso Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:26.70% (-1.53%)

Analysis last updated: Tuesday, April 30, 2024 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0459	16.35
$β$	0.7749	68.68
$γ$	0.1039	18.67
$λ_{1}$	0.0214	3.38
$λ_{2}$	0.0398	4.41
$λ_{3}$	0.9553	93.55

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts