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

V-Lab

| |

V-Lab

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

Volatility Prediction for Tuesday, January 7th, 2025:13.45% (-0.03%)

Analysis last updated: Tuesday, January 7, 2025 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0849	5.43
$α$	0.0902	9.44
$β$	0.8784	71.76
$γ_{1}$	-0.1317	-2.48
$γ_{2}$	0.3491	4.32
$γ_{3}$	-0.3632	-4.97
$γ_{4}$	0.1362	1.90
$γ_{5}$	0.0943	1.73
$γ_{6}$	-0.1872	-3.35
$γ_{7}$	0.1750	2.51
$γ_{8}$	-0.0757	-1.04
$γ_{9}$	-0.0444	-0.59
$γ_{10}$	0.0798	1.47

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Daiwa House Industry Co Ltd Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH