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Param	Value	t-stat
ωconst	0.4763	3.62***
αARCH	0.1394	8.18***
βGARCH	0.7729	33.05***

γ₁	-0.1343	-1.31
γ₂	-0.0234	-0.17
γ₃	0.3799	4.58***
γ₄	-0.3753	-4.38***
γ₅	0.1507	1.68*
γ₆	0.0337	0.45
γ₇	0.0109	0.17
γ₈	-0.0492	-0.72
γ₉	-0.0068	-0.09
γ₁₀	0.0097	0.17

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4763	3.62***
α ARCH Response to squared shocks	0.1394	8.18***
β GARCH Volatility persistence	0.7729	33.05***

γ₁	-0.1343	-1.31
γ₂	-0.0234	-0.17
γ₃	0.3799	4.58***
γ₄	-0.3753	-4.38***
γ₅	0.1507	1.68*
γ₆	0.0337	0.45
γ₇	0.0109	0.17
γ₈	-0.0492	-0.72
γ₉	-0.0068	-0.09
γ₁₀	0.0097	0.17

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Matsuda Sangyo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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