V-Lab: Sapporo Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sapporo Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:20.71% (-0.86%)

Analysis last updated: Sunday, May 5, 2024 at 12:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9190	5.34
$α$	0.1246	8.03
$β$	0.8099	35.71
$γ_{1}$	-0.1978	-3.06
$γ_{2}$	0.3790	3.81
$γ_{3}$	-0.2606	-3.37
$γ_{4}$	0.0534	0.81
$γ_{5}$	0.1093	1.95
$γ_{6}$	-0.1908	-2.80
$γ_{7}$	0.1724	2.56
$γ_{8}$	-0.0837	-1.46
$γ_{9}$	0.0221	0.38
$γ_{10}$	0.0004	0.01

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

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