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

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V-Lab

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

Volatility Prediction for Monday, November 25th, 2024:17.79% (-0.21%)

Analysis last updated: Sunday, November 24, 2024 at 01:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0042	5.14
$α$	0.0913	9.55
$β$	0.8765	70.81
$γ_{1}$	-0.1506	-2.77
$γ_{2}$	0.3723	4.52
$γ_{3}$	-0.3667	-4.99
$γ_{4}$	0.1320	1.85
$γ_{5}$	0.1021	1.88
$γ_{6}$	-0.1962	-3.45
$γ_{7}$	0.1838	2.60
$γ_{8}$	-0.0859	-1.17
$γ_{9}$	-0.0277	-0.36
$γ_{10}$	0.0625	1.15

Estimation Period:
Jan 3, 1990 to Nov 22, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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