V-Lab: Hanshin Construction Spline-GARCH Volatility Analysis

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V-Lab

Hanshin Construction Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:13.33% (-0.41%)

Analysis last updated: Thursday, May 9, 2024 at 11:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7088	5.46
$α$	0.1791	10.35
$β$	0.7228	27.96
$γ_{1}$	0.0237	0.44
$γ_{2}$	0.0364	0.48
$γ_{3}$	-0.1375	-2.64
$γ_{4}$	0.0120	0.23
$γ_{5}$	0.1652	3.30
$γ_{6}$	-0.1677	-3.47
$γ_{7}$	0.1538	2.93
$γ_{8}$	-0.1960	-3.70
$γ_{9}$	0.2465	4.26
$γ_{10}$	-0.4069	-4.58

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

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