V-Lab: Kajima Corp MF2-GARCH Volatility Analysis

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V-Lab

Kajima Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:30.62% (-2.97%)

Analysis last updated: Tuesday, November 12, 2024 at 09:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0785	21.92
$β$	0.7114	71.96
$γ$	0.1160	17.60
$λ_{1}$	0.0242	3.00
$λ_{2}$	0.0212	4.86
$λ_{3}$	0.9742	172.69

Estimation Period:
Jan 3, 1990 to Nov 8, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts