V-Lab: Shimizu Corp MF2-GARCH Volatility Analysis

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V-Lab

Shimizu Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, January 6th, 2025:28.67% (-0.08%)

Analysis last updated: Saturday, January 4, 2025 at 11:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0936	17.21
$β$	0.7004	76.73
$γ$	0.0997	12.35
$λ_{1}$	0.0666	2.83
$λ_{2}$	0.0439	3.57
$λ_{3}$	0.9429	58.21

Estimation Period:
Jan 3, 1990 to Jan 3, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts