V-Lab: Australian Masters Yield Fund No 2 Ltd GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Australian Masters Yield Fund No 2 Ltd GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 16th, 2017:219.48% (-0.55%)

Analysis last updated: Monday, March 1, 2021 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4356	1.42
$α$	0.0000	0.00
$β$	0.9922	51.60
$γ$	0.0156	0.02

Estimation Period:
Feb 1, 2013 to May 26, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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