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V-Lab

Frasers Property AHL Ltd Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, October 2nd, 2014:14.11% (-0.50%)

Analysis last updated: Friday, January 29, 2016 at 03:46 AM UTC

Date Range:

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graph of Frasers Property AHL Ltd S0GARCH
paramt-stat
ω1.12056.00
α0.12727.41
β0.776424.58
γ1-0.0036-0.03
γ2-0.0659-0.38
γ30.18121.38
γ40.01020.08
γ5-0.4005-3.05
γ60.35433.58
γ7-0.0253-0.43
Estimation Period:
Jun 16, 1997 to Sep 26, 2014
Impact of return on volatility tomorrow
Volatility Forecasts