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

V-Lab

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V-Lab

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

Volatility Prediction for Wednesday, May 1st, 2024:22.66% (+1.21%)

Analysis last updated: Thursday, May 2, 2024 at 12:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0664	5.49
$α$	0.0819	9.79
$β$	0.8892	78.82
$γ_{1}$	-0.1415	-2.53
$γ_{2}$	0.3623	4.12
$γ_{3}$	-0.3501	-4.27
$γ_{4}$	0.0876	1.15
$γ_{5}$	0.1631	2.80
$γ_{6}$	-0.2570	-3.76
$γ_{7}$	0.2297	2.76
$γ_{8}$	-0.1155	-1.37
$γ_{9}$	-0.0025	-0.03
$γ_{10}$	0.0433	0.79

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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