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 Wednesday, November 20th, 2024:39.37% (-3.20%)

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
$ω$	1.1399	8.25
$α$	0.1429	8.74
$β$	0.7349	27.65
$γ_{1}$	-0.0029	-0.07
$γ_{2}$	0.0917	1.38
$γ_{3}$	-0.1417	-2.89
$γ_{4}$	-0.0171	-0.40
$γ_{5}$	0.1854	4.84
$γ_{6}$	-0.2056	-5.51
$γ_{7}$	0.1165	2.91
$γ_{8}$	-0.0036	-0.08
$γ_{9}$	-0.0297	-0.56
$γ_{10}$	0.0022	0.05

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

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