V-Lab: Dentsu Group Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Dentsu Group Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.41% (-0.90%)

Analysis last updated: Sunday, May 5, 2024 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2749	3.68
$α$	0.0937	5.87
$β$	0.8203	28.89
$γ_{1}$	-0.0844	-0.75
$γ_{2}$	0.2614	1.67
$γ_{3}$	-0.3502	-4.03
$γ_{4}$	0.3225	4.28
$γ_{5}$	-0.2844	-4.13
$γ_{6}$	0.2490	3.58
$γ_{7}$	-0.1992	-2.45
$γ_{8}$	0.1208	1.78

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts