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, January 7th, 2025:21.29% (+0.07%)

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
$ω$	1.0772	6.99
$α$	0.1260	8.81
$β$	0.7476	27.43
$γ_{1}$	-0.0358	-0.80
$γ_{2}$	0.1459	2.17
$γ_{3}$	-0.2085	-4.39
$γ_{4}$	0.1037	2.43
$γ_{5}$	0.0598	1.53
$γ_{6}$	-0.1525	-3.55
$γ_{7}$	0.1336	3.01
$γ_{8}$	-0.0537	-1.20
$γ_{9}$	0.0168	0.40
$γ_{10}$	-0.0121	-0.38

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts