V-Lab: Taisei Corp MF2-GARCH Volatility Analysis

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V-Lab

Taisei Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:60.99% (-7.95%)

Analysis last updated: Tuesday, November 12, 2024 at 09:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	106
$α$	0.0954	24.65
$β$	0.6828	81.13
$γ$	0.1027	14.27
$λ_{1}$	0.2662	1.82
$λ_{2}$	0.2422	1.99
$λ_{3}$	0.7086	4.67

Estimation Period:
Jan 3, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts