V-Lab: Acrux Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Acrux Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:88.98% (+2.98%)

Analysis last updated: Friday, April 19, 2024 at 08:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8185	8.69
$α$	0.1511	4.01
$β$	0.4428	4.10
$γ_{1}$	0.0417	0.26
$γ_{2}$	-0.1256	-0.52
$γ_{3}$	0.0472	0.34
$γ_{4}$	0.3087	2.03
$γ_{5}$	-0.6018	-2.73
$γ_{6}$	0.5714	2.28
$γ_{7}$	-0.3582	-1.66
$γ_{8}$	0.1065	0.54
$γ_{9}$	0.1607	0.55

Estimation Period:
Sep 29, 2004 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts