V-Lab: Hitachi Zosen Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hitachi Zosen Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:35.41% (-2.89%)

Analysis last updated: Tuesday, April 30, 2024 at 10:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2344	9.14
$α$	0.1414	8.12
$β$	0.7896	36.78
$γ_{1}$	0.0579	5.06
$γ_{2}$	-0.0886	-4.87
$γ_{3}$	0.0310	2.25
$γ_{4}$	0.0081	0.60
$γ_{5}$	-0.0098	-0.58

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts