V-Lab: Goodman Fielder Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Goodman Fielder Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 4th, 2015:19.51% (-0.02%)

Analysis last updated: Friday, January 29, 2016 at 03:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6633	6.11
$α$	0.0562	3.41
$β$	0.8308	8.38
$γ_{1}$	0.5328	0.79
$γ_{2}$	-0.5738	-0.55
$γ_{3}$	0.2731	0.41
$γ_{4}$	-2.0344	-3.14
$γ_{5}$	4.6572	4.99
$γ_{6}$	-5.0307	-5.01
$γ_{7}$	3.2078	3.07
$γ_{8}$	-2.0234	-1.90
$γ_{9}$	1.6162	3.06

Estimation Period:
Dec 19, 2005 to Feb 27, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts