V-Lab: Kajima Corp MF2-GARCH Volatility Analysis

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V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 5th, 2025:23.88% (-0.49%)

Analysis last updated: Wednesday, March 5, 2025 at 11:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0778	21.96
$β$	0.7111	71.47
$γ$	0.1160	17.67
$λ_{1}$	0.0241	2.97
$λ_{2}$	0.0209	4.78
$λ_{3}$	0.9744	171.82

Estimation Period:
Jan 3, 1990 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts