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Param	Value	t-stat
ωconst	0.4754	3.60***
αARCH	0.1394	8.20***
βGARCH	0.7738	33.46***

γ₁	-0.1361	-1.33
γ₂	-0.0192	-0.14
γ₃	0.3764	4.56***
γ₄	-0.3755	-4.40***
γ₅	0.1542	1.71*
γ₆	0.0311	0.41
γ₇	0.0123	0.19
γ₈	-0.0537	-0.80
γ₉	0.0016	0.02
γ₁₀	0.0026	0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4754	3.60***
α ARCH Response to squared shocks	0.1394	8.20***
β GARCH Volatility persistence	0.7738	33.46***

γ₁	-0.1361	-1.33
γ₂	-0.0192	-0.14
γ₃	0.3764	4.56***
γ₄	-0.3755	-4.40***
γ₅	0.1542	1.71*
γ₆	0.0311	0.41
γ₇	0.0123	0.19
γ₈	-0.0537	-0.80
γ₉	0.0016	0.02
γ₁₀	0.0026	0.04

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Matsuda Sangyo Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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