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, November 12th, 2024:69.87% (-8.07%)

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
$ω$	1.1186	8.16
$α$	0.1389	8.83
$β$	0.7395	28.01
$γ_{1}$	-0.0083	-0.19
$γ_{2}$	0.1001	1.50
$γ_{3}$	-0.1447	-2.95
$γ_{4}$	-0.0203	-0.48
$γ_{5}$	0.1931	5.08
$γ_{6}$	-0.2119	-5.72
$γ_{7}$	0.1116	2.79
$γ_{8}$	0.0279	0.60
$γ_{9}$	-0.1149	-1.93
$γ_{10}$	0.2272	2.32

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

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