V-Lab: Mitsubishi Electric Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Mitsubishi Electric Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:53.87% (-2.38%)

Analysis last updated: Saturday, May 11, 2024 at 04:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0529	6.76
$α$	0.0915	9.49
$β$	0.8608	65.49
$γ_{1}$	0.0241	0.76
$γ_{2}$	0.0227	0.47
$γ_{3}$	-0.1423	-4.50
$γ_{4}$	0.1779	6.63
$γ_{5}$	-0.1341	-4.78
$γ_{6}$	0.0739	2.30
$γ_{7}$	-0.0443	-1.11
$γ_{8}$	0.1124	1.44

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts