V-Lab: Mitsubishi Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Mitsubishi Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.30% (-0.89%)

Analysis last updated: Thursday, May 2, 2024 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3993	6.36
$α$	0.0827	8.73
$β$	0.8646	56.97
$γ_{1}$	0.0060	0.10
$γ_{2}$	0.0690	0.73
$γ_{3}$	-0.1224	-1.82
$γ_{4}$	0.0012	0.02
$γ_{5}$	0.1619	3.36
$γ_{6}$	-0.2556	-5.39
$γ_{7}$	0.2362	4.55
$γ_{8}$	-0.1444	-2.57
$γ_{9}$	0.1055	1.91
$γ_{10}$	-0.0898	-2.22

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

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