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

V-Lab

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V-Lab

GrainCorp Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:24.89% (-0.67%)

Analysis last updated: Friday, April 19, 2024 at 08:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7540	4.16
$α$	0.2205	5.34
$β$	0.6809	16.30
$γ_{1}$	0.0431	1.16
$γ_{2}$	0.0263	0.52
$γ_{3}$	-0.1873	-5.81
$γ_{4}$	0.2055	5.36
$γ_{5}$	-0.1064	-2.83
$γ_{6}$	0.0111	0.46

Estimation Period:
Mar 30, 1998 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts