V-Lab: Cathay Pacific Airways Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Cathay Pacific Airways Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.03% (-0.22%)

Analysis last updated: Sunday, April 21, 2024 at 12:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7309	6.01
$α$	0.0812	8.95
$β$	0.8780	68.82
$γ_{1}$	-0.0787	-1.82
$γ_{2}$	0.1566	2.47
$γ_{3}$	-0.2022	-5.14
$γ_{4}$	0.2531	7.26
$γ_{5}$	-0.2270	-6.84
$γ_{6}$	0.1586	4.73
$γ_{7}$	-0.0805	-2.53
$γ_{8}$	0.0224	1.01

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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