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

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V-Lab

Shimizu Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, November 20th, 2024:59.94% (-7.71%)

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
$ω$	1.0556	8.55
$α$	0.1300	7.34
$β$	0.7555	26.77
$γ_{1}$	-0.0228	-0.47
$γ_{2}$	0.0965	1.32
$γ_{3}$	-0.1377	-3.10
$γ_{4}$	0.0431	1.22
$γ_{5}$	0.0886	2.66
$γ_{6}$	-0.1373	-3.58
$γ_{7}$	0.1135	2.45
$γ_{8}$	-0.0661	-1.46
$γ_{9}$	0.0551	1.16
$γ_{10}$	-0.0518	-1.29

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

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