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

V-Lab

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V-Lab

Mitsui E&S Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:71.25% (-3.56%)

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
$ω$	0.9305	6.60
$α$	0.1020	7.83
$β$	0.8445	48.15
$γ_{1}$	-0.0433	-0.81
$γ_{2}$	0.1717	2.04
$γ_{3}$	-0.2243	-2.98
$γ_{4}$	0.0745	0.89
$γ_{5}$	0.0589	0.86
$γ_{6}$	-0.0513	-0.87
$γ_{7}$	-0.0091	-0.13
$γ_{8}$	0.1370	1.47
$γ_{9}$	-0.2542	-1.97
$γ_{10}$	0.3065	1.68

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

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Volatility Forecasts

Volatility Forecasts