V-Lab: Mitsubishi Heavy Industries Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Mitsubishi Heavy Industries Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:37.72% (-1.68%)

Analysis last updated: Saturday, May 4, 2024 at 11:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1701	5.35
$α$	0.0869	9.10
$β$	0.8849	78.01
$γ_{1}$	-0.0022	-0.05
$γ_{2}$	0.0740	1.18
$γ_{3}$	-0.1781	-4.73
$γ_{4}$	0.1879	5.89
$γ_{5}$	-0.1164	-3.37
$γ_{6}$	0.0178	0.45
$γ_{7}$	0.0724	1.97
$γ_{8}$	-0.0868	-3.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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