V-Lab: Sekisui House Ltd MF2-GARCH Volatility Analysis

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V-Lab

Sekisui House Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:22.41% (+1.42%)

Analysis last updated: Friday, May 10, 2024 at 12:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0818	20.30
$β$	0.8041	116.10
$γ$	0.0539	11.11
$λ_{1}$	0.0336	4.79
$λ_{2}$	0.0405	4.39
$λ_{3}$	0.9480	82.94

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts