V-Lab: Shimizu Corp MF2-GARCH Volatility Analysis

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V-Lab

Shimizu Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:52.66% (-7.34%)

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
$m$	76
$α$	0.0923	17.35
$β$	0.6897	60.68
$γ$	0.0991	12.05
$λ_{1}$	0.1554	1.73
$λ_{2}$	0.1050	1.88
$λ_{3}$	0.8648	11.91

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

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Volatility Forecasts