V-Lab: Mitsui E&S Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Mitsui E&S Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:61.96% (-3.84%)

Analysis last updated: Wednesday, May 1, 2024 at 11:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0191	7.13
$α$	0.0985	7.69
$β$	0.8501	48.63
$γ_{1}$	-0.0091	-0.17
$γ_{2}$	0.1212	1.44
$γ_{3}$	-0.1982	-2.59
$γ_{4}$	0.0603	0.72
$γ_{5}$	0.0628	0.91
$γ_{6}$	-0.0496	-0.84
$γ_{7}$	-0.0057	-0.08
$γ_{8}$	0.1156	1.30
$γ_{9}$	-0.1959	-1.67
$γ_{10}$	0.1267	1.36

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

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