V-Lab: Hitachi Zosen Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Hitachi Zosen Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:37.46% (-1.11%)

Analysis last updated: Sunday, May 19, 2024 at 01:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2284	9.19
$α$	0.1388	8.03
$β$	0.7923	36.96
$γ_{1}$	0.0577	5.08
$γ_{2}$	-0.0886	-4.90
$γ_{3}$	0.0316	2.29
$γ_{4}$	0.0069	0.51
$γ_{5}$	-0.0064	-0.36

Estimation Period:
Jan 3, 1990 to May 17, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts