V-Lab: Obayashi Corp MF2-GARCH Volatility Analysis

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V-Lab

Obayashi Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:24.33% (-0.46%)

Analysis last updated: Thursday, November 21, 2024 at 01:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.1224	26.51
$β$	0.6477	60.94
$γ$	0.0785	10.91
$λ_{1}$	0.0361	3.35
$λ_{2}$	0.0281	5.20
$λ_{3}$	0.9647	137.36

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts