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Param	Value	t-stat
ωconst	0.4867	4.24***
αARCH	0.1434	7.93***
βGARCH	0.7407	27.15***

γ₁	-0.1080	-1.21
γ₂	-0.0636	-0.51
γ₃	0.4072	5.44***
γ₄	-0.4021	-5.20***
γ₅	0.1742	2.11**
γ₆	0.0230	0.32
γ₇	0.0006	0.01
γ₈	-0.0043	-0.07
γ₉	-0.1320	-1.77*
γ₁₀	0.3959	3.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4867	4.24***
α ARCH Response to squared shocks	0.1434	7.93***
β GARCH Volatility persistence	0.7407	27.15***

γ₁	-0.1080	-1.21
γ₂	-0.0636	-0.51
γ₃	0.4072	5.44***
γ₄	-0.4021	-5.20***
γ₅	0.1742	2.11**
γ₆	0.0230	0.32
γ₇	0.0006	0.01
γ₈	-0.0043	-0.07
γ₉	-0.1320	-1.77*
γ₁₀	0.3959	3.53***

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Matsuda Sangyo Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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