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

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V-Lab

Orica Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:22.33% (+2.11%)

Analysis last updated: Thursday, April 18, 2024 at 07:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0551	5.13
$α$	0.2142	6.14
$β$	0.5548	9.61
$γ_{1}$	0.0155	0.31
$γ_{2}$	-0.0144	-0.21
$γ_{3}$	0.0129	0.32
$γ_{4}$	-0.0544	-1.28
$γ_{5}$	0.1302	3.03
$γ_{6}$	-0.2260	-4.96
$γ_{7}$	0.2728	4.48
$γ_{8}$	-0.2480	-3.64
$γ_{9}$	0.1733	2.80
$γ_{10}$	-0.0756	-2.12

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

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