V-Lab: Mitsui E&S Co Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mitsui E&S Co Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:75.15% (+13.19%)

Analysis last updated: Friday, May 17, 2024 at 12:07 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9257	6.59
$α$	0.1020	7.83
$β$	0.8436	47.80
$γ_{1}$	-0.0423	-0.79
$γ_{2}$	0.1695	2.03
$γ_{3}$	-0.2229	-2.99
$γ_{4}$	0.0752	0.91
$γ_{5}$	0.0566	0.83
$γ_{6}$	-0.0480	-0.82
$γ_{7}$	-0.0126	-0.19
$γ_{8}$	0.1396	1.53
$γ_{9}$	-0.2568	-2.03
$γ_{10}$	0.3112	1.76

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

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