V-Lab: Mitsubishi Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Mitsubishi Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:28.65% (+1.54%)

Analysis last updated: Friday, May 3, 2024 at 11:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4060	6.39
$α$	0.0826	8.73
$β$	0.8647	57.06
$γ_{1}$	0.0086	0.14
$γ_{2}$	0.0650	0.68
$γ_{3}$	-0.1205	-1.79
$γ_{4}$	0.0007	0.01
$γ_{5}$	0.1613	3.37
$γ_{6}$	-0.2545	-5.40
$γ_{7}$	0.2348	4.55
$γ_{8}$	-0.1428	-2.56
$γ_{9}$	0.1043	1.90
$γ_{10}$	-0.0892	-2.23

Estimation Period:
Jan 3, 1990 to May 2, 2024

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Volatility Forecasts

Volatility Forecasts