V-Lab: Denka Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Denka Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.22% (-0.42%)

Analysis last updated: Friday, May 3, 2024 at 11:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8083	8.00
$α$	0.1327	8.32
$β$	0.7333	24.98
$γ_{1}$	-0.1986	-4.50
$γ_{2}$	0.3235	4.92
$γ_{3}$	-0.1653	-3.71
$γ_{4}$	-0.0643	-1.62
$γ_{5}$	0.3027	8.74
$γ_{6}$	-0.3605	-10.16
$γ_{7}$	0.2385	6.21
$γ_{8}$	-0.0937	-2.34
$γ_{9}$	0.0148	0.32
$γ_{10}$	0.0074	0.16

Estimation Period:
Jan 3, 1990 to May 2, 2024

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