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Param	Value	t-stat
ωconst	1.2249	5.85***
αARCH	0.0890	9.57***
βGARCH	0.8808	74.91***

γ₁	-0.0354	-0.89
γ₂	0.1766	3.13***
γ₃	-0.3031	-8.52***
γ₄	0.2773	6.30***
γ₅	-0.1987	-3.59***
γ₆	0.1321	2.44**
γ₇	-0.0526	-1.13
γ₈	-0.0284	-0.60
γ₉	0.0567	1.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2249	5.85***
α ARCH Response to squared shocks	0.0890	9.57***
β GARCH Volatility persistence	0.8808	74.91***

γ₁	-0.0354	-0.89
γ₂	0.1766	3.13***
γ₃	-0.3031	-8.52***
γ₄	0.2773	6.30***
γ₅	-0.1987	-3.59***
γ₆	0.1321	2.44**
γ₇	-0.0526	-1.13
γ₈	-0.0284	-0.60
γ₉	0.0567	1.55

V-Lab

Daiwa House Industry Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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