V-Lab: Frasers Property AHL Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Frasers Property AHL Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 2nd, 2014:9.65% (-0.82%)

Analysis last updated: Friday, January 29, 2016 at 03:54 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0800	6.43
$α$	0.1352	7.00
$β$	0.7330	18.45
$γ_{1}$	-0.0190	-0.19
$γ_{2}$	-0.0340	-0.22
$γ_{3}$	0.1389	1.18
$γ_{4}$	0.0832	0.70
$γ_{5}$	-0.5302	-4.47
$γ_{6}$	0.6005	6.07
$γ_{7}$	-0.6348	-4.68

Estimation Period:
Jun 16, 1997 to Sep 26, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts