V-Lab: Kajima Corp MF2-GARCH Volatility Analysis

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V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 7th, 2025:21.31% (+0.30%)

Analysis last updated: Tuesday, January 7, 2025 at 11:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0783	21.85
$β$	0.7098	71.26
$γ$	0.1168	17.65
$λ_{1}$	0.0246	2.98
$λ_{2}$	0.0220	4.89
$λ_{3}$	0.9732	167.83

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts