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

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V-Lab

Denka Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:26.14% (+6.32%)

Analysis last updated: Friday, May 17, 2024 at 12:44 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7643	7.78
$α$	0.1345	8.35
$β$	0.7264	24.24
$γ_{1}$	-0.2235	-5.17
$γ_{2}$	0.3599	5.59
$γ_{3}$	-0.1801	-4.10
$γ_{4}$	-0.0646	-1.65
$γ_{5}$	0.3157	9.22
$γ_{6}$	-0.3829	-10.93
$γ_{7}$	0.2684	6.90
$γ_{8}$	-0.1344	-3.02
$γ_{9}$	0.0832	1.23
$γ_{10}$	-0.1574	-1.36

Estimation Period:
Jan 3, 1990 to May 10, 2024

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Volatility Forecasts

Volatility Forecasts