V-Lab: Obayashi Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Obayashi Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:27.67% (-0.79%)

Analysis last updated: Sunday, April 28, 2024 at 02:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0461	6.57
$α$	0.1221	9.61
$β$	0.7936	43.93
$γ_{1}$	-0.0454	-0.89
$γ_{2}$	0.1357	1.87
$γ_{3}$	-0.1436	-2.86
$γ_{4}$	0.0008	0.02
$γ_{5}$	0.1586	3.79
$γ_{6}$	-0.2123	-4.84
$γ_{7}$	0.1750	3.60
$γ_{8}$	-0.1095	-2.01
$γ_{9}$	0.0864	1.36
$γ_{10}$	-0.0678	-1.22

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

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Volatility Forecasts

Volatility Forecasts