V-Lab: Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Taisei Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 7th, 2025:22.85% (+0.32%)

Analysis last updated: Tuesday, January 7, 2025 at 10:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1116	7.91
$α$	0.1435	8.81
$β$	0.7375	28.45
$γ_{1}$	-0.0080	-0.18
$γ_{2}$	0.0988	1.46
$γ_{3}$	-0.1471	-2.97
$γ_{4}$	-0.0105	-0.24
$γ_{5}$	0.1808	4.66
$γ_{6}$	-0.2060	-5.39
$γ_{7}$	0.1217	3.03
$γ_{8}$	-0.0086	-0.20
$γ_{9}$	-0.0306	-0.60
$γ_{10}$	0.0069	0.14

Estimation Period:
Jan 3, 1990 to Jan 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts