V-Lab: Coca-Cola Amatil Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Coca-Cola Amatil Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 22nd, 2021:17.70% (-0.20%)

Analysis last updated: Wednesday, April 21, 2021 at 09:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7203	8.11
$α$	0.1870	8.24
$β$	0.5445	11.52
$γ_{1}$	-0.0216	-0.72
$γ_{2}$	0.0725	1.68
$γ_{3}$	-0.1853	-6.82
$γ_{4}$	0.2791	12.25
$γ_{5}$	-0.2544	-11.71
$γ_{6}$	0.1838	7.94
$γ_{7}$	-0.1080	-4.20
$γ_{8}$	0.0417	1.91

Estimation Period:
Jan 1, 1990 to Apr 16, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts