V-Lab: Shimizu Corp MF2-GARCH Volatility Analysis

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V-Lab

Shimizu Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:35.88% (-4.09%)

Analysis last updated: Tuesday, November 12, 2024 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0845	16.95
$β$	0.7026	70.15
$γ$	0.1030	13.64
$λ_{1}$	0.0728	2.68
$λ_{2}$	0.0489	3.18
$λ_{3}$	0.9364	46.82

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts