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

V-Lab

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V-Lab

iiNet Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 25th, 2015:24.38% (-0.56%)

Analysis last updated: Friday, April 29, 2016 at 06:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0960	4.10
$α$	0.4477	2.65
$β$	0.2406	2.68
$γ_{1}$	-0.2220	-3.88
$γ_{2}$	0.4424	5.60
$γ_{3}$	-0.4313	-8.64
$γ_{4}$	0.3402	5.77
$γ_{5}$	-0.1551	-3.09

Estimation Period:
Sep 20, 1999 to Aug 21, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts