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 Tuesday, November 12th, 2024:18.57% (+2.12%)

Analysis last updated: Tuesday, November 12, 2024 at 09:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0714	5.42
$α$	0.0901	9.43
$β$	0.8774	70.36
$γ_{1}$	-0.1344	-2.52
$γ_{2}$	0.3524	4.34
$γ_{3}$	-0.3602	-4.92
$γ_{4}$	0.1253	1.77
$γ_{5}$	0.1102	2.05
$γ_{6}$	-0.2049	-3.61
$γ_{7}$	0.1914	2.70
$γ_{8}$	-0.0908	-1.22
$γ_{9}$	-0.0250	-0.33
$γ_{10}$	0.0612	1.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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