V-Lab: Incitec Pivot Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Incitec Pivot Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:22.23% (-1.51%)

Analysis last updated: Friday, April 19, 2024 at 08:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2785	3.82
$α$	0.1401	4.62
$β$	0.6691	9.13
$γ_{1}$	0.0001	0.00
$γ_{2}$	-0.0869	-0.25
$γ_{3}$	-0.1039	-0.46
$γ_{4}$	0.2856	1.83
$γ_{5}$	0.0295	0.25
$γ_{6}$	-0.3426	-3.11
$γ_{7}$	0.4893	4.60
$γ_{8}$	-0.5160	-4.89
$γ_{9}$	0.3448	3.94

Estimation Period:
Jul 28, 2003 to Apr 12, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts