V-Lab: Hanshin Construction MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Hanshin Construction MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:18.11% (-0.17%)

Analysis last updated: Saturday, May 11, 2024 at 03:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	96
$α$	0.1755	34.56
$β$	0.6921	94.45
$γ$	0.0035	0.61
$λ_{1}$	0.4964	19.78
$λ_{2}$	0.9721	82.27
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts