V-Lab: Denso Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Denso Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:28.46% (+0.20%)

Analysis last updated: Thursday, May 2, 2024 at 09:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8616	5.31
$α$	0.0805	9.21
$β$	0.8800	68.78
$γ_{1}$	-0.1883	-2.67
$γ_{2}$	0.3924	3.95
$γ_{3}$	-0.3504	-6.07
$γ_{4}$	0.1543	2.55
$γ_{5}$	0.0775	1.28
$γ_{6}$	-0.1710	-2.89
$γ_{7}$	0.1165	1.86
$γ_{8}$	-0.0348	-0.58
$γ_{9}$	0.0211	0.42
$γ_{10}$	-0.0302	-0.92

Estimation Period:
Jan 3, 1990 to Apr 26, 2024

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