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, November 12th, 2024:64.24% (-8.79%)

Analysis last updated: Tuesday, November 12, 2024 at 09:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1363	8.22
$α$	0.1412	8.68
$β$	0.7379	27.89
$γ_{1}$	-0.0041	-0.09
$γ_{2}$	0.0941	1.41
$γ_{3}$	-0.1444	-2.94
$γ_{4}$	-0.0137	-0.32
$γ_{5}$	0.1817	4.71
$γ_{6}$	-0.2026	-5.39
$γ_{7}$	0.1148	2.85
$γ_{8}$	-0.0025	-0.06
$γ_{9}$	-0.0307	-0.58
$γ_{10}$	0.0028	0.06

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

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