V-Lab: Computershare Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Computershare Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:21.77% (-0.93%)

Analysis last updated: Friday, April 19, 2024 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7182	5.33
$α$	0.1671	6.93
$β$	0.6051	13.06
$γ_{1}$	0.0299	0.81
$γ_{2}$	-0.0979	-1.82
$γ_{3}$	0.1086	2.96
$γ_{4}$	-0.0785	-2.29
$γ_{5}$	0.0729	2.71
$γ_{6}$	-0.0462	-2.05
$γ_{7}$	0.0141	0.86

Estimation Period:
May 27, 1994 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts