New Zealand Exchange Ltd NZX 15 Total Return Index AGARCH Volatility Analysis
Inactive
Last recorded values (Monday, June 18th, 2018):
1 Day
10.10%
1 Week
10.17%
1 Month
10.42%
Analysis last updated: Friday, June 15, 2018 at 07:00 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0060 | 8.42 | |
| 0.0384 | 20.43 | |
| 0.9423 | 343.54 | |
| 0.3523 | 14.98 |
Estimation Period:
Oct 2, 2001 to Jun 15, 2018
Oct 2, 2001 to Jun 15, 2018
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