V-Lab: Adbri Ltd Spline-GARCH Volatility Analysis

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V-Lab

Adbri Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:18.44% (-0.09%)

Analysis last updated: Saturday, April 20, 2024 at 08:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7752	8.04
$α$	0.1492	4.83
$β$	0.5202	7.26
$γ_{1}$	0.0205	1.02
$γ_{2}$	-0.0097	-0.33
$γ_{3}$	-0.0537	-2.33
$γ_{4}$	0.0716	2.23
$γ_{5}$	-0.0557	-1.51
$γ_{6}$	0.0313	0.95
$γ_{7}$	0.0798	2.69
$γ_{8}$	-0.2756	-7.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts