V-Lab: Mitsubishi Corp Spline-GARCH Volatility Analysis

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V-Lab

Mitsubishi Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.10% (-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
$ω$	1.3893	6.32
$α$	0.0827	8.74
$β$	0.8649	57.22
$γ_{1}$	-0.0002	-0.00
$γ_{2}$	0.0806	0.85
$γ_{3}$	-0.1316	-1.96
$γ_{4}$	0.0042	0.07
$γ_{5}$	0.1678	3.49
$γ_{6}$	-0.2681	-5.65
$γ_{7}$	0.2501	4.80
$γ_{8}$	-0.1552	-2.72
$γ_{9}$	0.1122	1.84
$γ_{10}$	-0.0935	-0.94

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

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Volatility Forecasts

Volatility Forecasts