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 Monday, April 22nd, 2024:20.52% (-1.15%)

Analysis last updated: Saturday, April 20, 2024 at 08:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7188	5.33
$α$	0.1666	6.93
$β$	0.6070	13.17
$γ_{1}$	0.0298	0.81
$γ_{2}$	-0.0977	-1.83
$γ_{3}$	0.1085	2.97
$γ_{4}$	-0.0786	-2.30
$γ_{5}$	0.0734	2.74
$γ_{6}$	-0.0472	-2.10
$γ_{7}$	0.0152	0.92

Estimation Period:
May 27, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts