V-Lab: Premier Investments Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Premier Investments Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.53% (+0.20%)

Analysis last updated: Saturday, April 20, 2024 at 08:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3456	6.24
$α$	0.1581	5.76
$β$	0.5641	9.14
$γ_{1}$	0.0131	0.15
$γ_{2}$	-0.1199	-0.88
$γ_{3}$	0.1845	2.35
$γ_{4}$	-0.1274	-1.89
$γ_{5}$	0.1603	2.09
$γ_{6}$	-0.2445	-3.31
$γ_{7}$	0.2697	3.23
$γ_{8}$	-0.2176	-2.39
$γ_{9}$	0.1021	1.56

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts