V-Lab: Crown Resorts Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Crown Resorts Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 2nd, 2022:24.82% (0.00%)

Analysis last updated: Wednesday, August 3, 2022 at 02:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0838	7.34
$α$	0.0646	3.21
$β$	0.6977	7.86
$γ_{1}$	-0.8050	-5.19
$γ_{2}$	1.2888	5.86
$γ_{3}$	-0.6299	-4.75
$γ_{4}$	0.4012	2.35
$γ_{5}$	-0.7609	-3.39
$γ_{6}$	1.0689	5.36
$γ_{7}$	-0.9152	-4.28
$γ_{8}$	0.4383	2.03

Estimation Period:
Dec 3, 2007 to Jul 29, 2022

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts