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

V-Lab

| |

V-Lab

Mitsubishi Heavy Industries Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:48.74% (-1.51%)

Analysis last updated: Sunday, May 19, 2024 at 01:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1654	5.38
$α$	0.0860	9.07
$β$	0.8857	78.34
$γ_{1}$	-0.0062	-0.14
$γ_{2}$	0.0817	1.31
$γ_{3}$	-0.1853	-4.96
$γ_{4}$	0.1947	6.18
$γ_{5}$	-0.1237	-3.63
$γ_{6}$	0.0276	0.68
$γ_{7}$	0.0550	1.28
$γ_{8}$	-0.0416	-0.63

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Mitsubishi Heavy Industries Ltd Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH