V-Lab: David Jones Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

David Jones Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 21st, 2014:27.97% (-0.10%)

Analysis last updated: Friday, January 29, 2016 at 02:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4379	7.37
$α$	0.0527	3.91
$β$	0.8541	20.37
$γ_{1}$	-0.1873	-5.02
$γ_{2}$	0.2355	4.59
$γ_{3}$	-0.0280	-0.83
$γ_{4}$	-0.0565	-1.42
$γ_{5}$	0.0470	1.26

Estimation Period:
Nov 27, 1995 to Jul 18, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts