V-Lab: Taisei Corp MF2-GARCH Volatility Analysis

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V-Lab

Taisei Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:39.75% (-3.03%)

Analysis last updated: Thursday, November 21, 2024 at 01:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	106
$α$	0.0948	24.61
$β$	0.6827	80.64
$γ$	0.1034	14.37
$λ_{1}$	0.2538	1.88
$λ_{2}$	0.2306	2.07
$λ_{3}$	0.7223	5.19

Estimation Period:
Jan 3, 1990 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts