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

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V-Lab

Cathay Pacific Airways Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:22.52% (-0.23%)

Analysis last updated: Sunday, April 21, 2024 at 12:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6985	6.17
$α$	0.0822	8.70
$β$	0.8711	62.57
$γ_{1}$	-0.0854	-2.10
$γ_{2}$	0.1669	2.79
$γ_{3}$	-0.2091	-5.65
$γ_{4}$	0.2574	7.85
$γ_{5}$	-0.2247	-7.18
$γ_{6}$	0.1423	4.49
$γ_{7}$	-0.0322	-0.94
$γ_{8}$	-0.1098	-1.96

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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