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

V-Lab

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V-Lab

Metcash Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:19.05% (-0.88%)

Analysis last updated: Tuesday, May 7, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8540	5.78
$α$	0.1273	6.78
$β$	0.7627	21.27
$γ_{1}$	0.0652	1.53
$γ_{2}$	-0.2279	-3.89
$γ_{3}$	0.2968	8.15
$γ_{4}$	-0.2225	-5.91
$γ_{5}$	0.2140	5.25
$γ_{6}$	-0.2251	-4.81
$γ_{7}$	0.0994	2.16
$γ_{8}$	0.0245	0.84

Estimation Period:
Jun 17, 1994 to May 3, 2024

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Volatility Forecasts

Volatility Forecasts