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

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V-Lab

Mesoblast Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:102.39% (-6.21%)

Analysis last updated: Friday, April 19, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6688	4.33
$α$	0.1611	4.29
$β$	0.7338	14.87
$γ_{1}$	0.4387	2.26
$γ_{2}$	-0.6384	-2.03
$γ_{3}$	0.3310	1.46
$γ_{4}$	-0.3674	-1.72
$γ_{5}$	0.7971	2.44
$γ_{6}$	-1.1242	-2.62
$γ_{7}$	0.8383	2.33
$γ_{8}$	-0.4095	-1.49
$γ_{9}$	0.3263	1.17
$γ_{10}$	-0.3227	-1.34

Estimation Period:
Dec 16, 2004 to Apr 12, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts