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

V-Lab

| |

V-Lab

CSL Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:17.89% (-0.20%)

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
$ω$	0.7093	7.79
$α$	0.1126	7.62
$β$	0.7115	19.29
$γ_{1}$	0.0086	0.12
$γ_{2}$	-0.0023	-0.02
$γ_{3}$	-0.1038	-1.10
$γ_{4}$	0.2078	3.00
$γ_{5}$	-0.2289	-4.21
$γ_{6}$	0.1887	3.68
$γ_{7}$	-0.0638	-1.14
$γ_{8}$	0.0044	0.06
$γ_{9}$	-0.0516	-0.73
$γ_{10}$	0.0632	1.40

Estimation Period:
May 30, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts