V-Lab: Dentsu Group Inc MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Dentsu Group Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:23.67% (-0.17%)

Analysis last updated: Thursday, May 9, 2024 at 02:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0615	14.41
$β$	0.7254	50.22
$γ$	0.0768	10.61
$λ_{1}$	0.2199	1.16
$λ_{2}$	0.1333	1.39
$λ_{3}$	0.8154	5.92

Estimation Period:
Nov 30, 2001 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts