V-Lab: Bradken Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Bradken Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 10th, 2017:20.25% (+4.74%)

Analysis last updated: Friday, April 7, 2017 at 07:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6633	2.82
$α$	0.0811	4.13
$β$	0.8548	19.77
$γ_{1}$	-0.2615	-0.29
$γ_{2}$	0.5347	0.36
$γ_{3}$	-0.1693	-0.12
$γ_{4}$	-0.9444	-0.76
$γ_{5}$	1.3520	1.63
$γ_{6}$	-0.0888	-0.14
$γ_{7}$	-1.0566	-1.88
$γ_{8}$	1.3649	2.09
$γ_{9}$	-1.1503	-0.99
$γ_{10}$	-2.1818	-0.92

Estimation Period:
Aug 18, 2004 to Apr 7, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts