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

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V-Lab

Sapporo Holdings Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:22.22% (-0.25%)

Analysis last updated: Friday, May 10, 2024 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9177	5.40
$α$	0.1270	8.12
$β$	0.8070	35.37
$γ_{1}$	-0.2134	-3.35
$γ_{2}$	0.4080	4.13
$γ_{3}$	-0.2841	-3.68
$γ_{4}$	0.0670	1.02
$γ_{5}$	0.1087	1.96
$γ_{6}$	-0.1989	-2.96
$γ_{7}$	0.1806	2.71
$γ_{8}$	-0.0848	-1.45
$γ_{9}$	0.0062	0.09
$γ_{10}$	0.0661	0.67

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

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