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

V-Lab

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V-Lab

Daiwa House Industry Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:18.05% (+2.20%)

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
$ω$	1.0105	5.21
$α$	0.0908	9.22
$β$	0.8768	69.00
$γ_{1}$	-0.1623	-3.04
$γ_{2}$	0.3971	4.91
$γ_{3}$	-0.3892	-5.39
$γ_{4}$	0.1426	2.04
$γ_{5}$	0.1074	1.99
$γ_{6}$	-0.2137	-3.77
$γ_{7}$	0.2048	2.86
$γ_{8}$	-0.1043	-1.35
$γ_{9}$	-0.0097	-0.11
$γ_{10}$	0.0303	0.28

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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