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Param	Value	t-stat
ωconst	1.1860	5.70***
αARCH	0.0890	9.60***
βGARCH	0.8814	75.58***

γ₁	-0.0397	-0.99
γ₂	0.1805	3.16***
γ₃	-0.3014	-8.46***
γ₄	0.2749	6.29***
γ₅	-0.1971	-3.58***
γ₆	0.1322	2.45**
γ₇	-0.0546	-1.18
γ₈	-0.0261	-0.56
γ₉	0.0558	1.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1860	5.70***
α ARCH Response to squared shocks	0.0890	9.60***
β GARCH Volatility persistence	0.8814	75.58***

γ₁	-0.0397	-0.99
γ₂	0.1805	3.16***
γ₃	-0.3014	-8.46***
γ₄	0.2749	6.29***
γ₅	-0.1971	-3.58***
γ₆	0.1322	2.45**
γ₇	-0.0546	-1.18
γ₈	-0.0261	-0.56
γ₉	0.0558	1.55

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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