V-Lab: Taisei Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Taisei Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:37.54% (+4.82%)

Analysis last updated: Sunday, April 28, 2024 at 01:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1046	7.82
$α$	0.1285	8.84
$β$	0.7655	31.78
$γ_{1}$	-0.0171	-0.36
$γ_{2}$	0.1106	1.55
$γ_{3}$	-0.1364	-2.64
$γ_{4}$	-0.0470	-1.06
$γ_{5}$	0.2207	5.43
$γ_{6}$	-0.2223	-5.53
$γ_{7}$	0.1016	2.10
$γ_{8}$	0.0448	0.75
$γ_{9}$	-0.1214	-1.64
$γ_{10}$	0.1910	1.73

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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