V-Lab: Denso Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Denso Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:23.30% (-1.09%)

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
$ω$	0.8053	5.21
$α$	0.0823	9.24
$β$	0.8744	65.41
$γ_{1}$	-0.2179	-3.19
$γ_{2}$	0.4381	4.56
$γ_{3}$	-0.3763	-6.77
$γ_{4}$	0.1673	2.86
$γ_{5}$	0.0793	1.35
$γ_{6}$	-0.1869	-3.30
$γ_{7}$	0.1427	2.37
$γ_{8}$	-0.0725	-1.24
$γ_{9}$	0.0888	1.55
$γ_{10}$	-0.1981	-2.16

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts