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

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V-Lab

Kajima Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:32.42% (-3.00%)

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
$ω$	1.0358	6.79
$α$	0.1252	8.76
$β$	0.7475	27.27
$γ_{1}$	-0.0468	-1.03
$γ_{2}$	0.1609	2.37
$γ_{3}$	-0.2133	-4.48
$γ_{4}$	0.1019	2.41
$γ_{5}$	0.0660	1.71
$γ_{6}$	-0.1590	-3.75
$γ_{7}$	0.1381	3.07
$γ_{8}$	-0.0585	-1.26
$γ_{9}$	0.0250	0.57
$γ_{10}$	-0.0199	-0.62

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

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