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

V-Lab

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V-Lab

Shimizu Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 6th, 2025:21.52% (-0.20%)

Analysis last updated: Saturday, January 4, 2025 at 11:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2894	9.20
$α$	0.1341	7.34
$β$	0.7632	29.17
$γ_{1}$	0.0577	4.93
$γ_{2}$	-0.0951	-5.24
$γ_{3}$	0.0542	4.50
$γ_{4}$	-0.0285	-2.63
$γ_{5}$	0.0245	1.96
$γ_{6}$	-0.0171	-1.59

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts