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 Friday, April 19th, 2024:15.43% (+0.12%)

Analysis last updated: Friday, April 19, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8636	5.86
$α$	0.1254	6.70
$β$	0.7656	21.52
$γ_{1}$	0.0703	1.65
$γ_{2}$	-0.2356	-4.02
$γ_{3}$	0.3007	8.22
$γ_{4}$	-0.2244	-5.92
$γ_{5}$	0.2147	5.23
$γ_{6}$	-0.2241	-4.75
$γ_{7}$	0.0975	2.11
$γ_{8}$	0.0253	0.87

Estimation Period:
Jun 17, 1994 to Apr 12, 2024

News Impact Curve

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Volatility Forecasts

Volatility Forecasts