V-Lab: ALS Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ALS Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.50% (+2.25%)

Analysis last updated: Saturday, April 20, 2024 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5572	3.47
$α$	0.1249	6.15
$β$	0.7296	17.97
$γ_{1}$	0.1651	1.54
$γ_{2}$	-0.1901	-1.17
$γ_{3}$	-0.0084	-0.07
$γ_{4}$	0.1606	1.58
$γ_{5}$	-0.2716	-3.35
$γ_{6}$	0.2731	4.53
$γ_{7}$	-0.2328	-4.10
$γ_{8}$	0.1175	1.85
$γ_{9}$	0.0182	0.23
$γ_{10}$	-0.1275	-1.04

Estimation Period:
Jan 24, 1990 to Apr 19, 2024

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