V-Lab: Qantas Airways Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Qantas Airways Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:34.63% (-0.21%)

Analysis last updated: Saturday, April 20, 2024 at 08:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6578	6.15
$α$	0.0999	7.20
$β$	0.8482	48.80
$γ_{1}$	0.0501	0.90
$γ_{2}$	-0.1912	-2.12
$γ_{3}$	0.2701	3.93
$γ_{4}$	-0.1704	-2.78
$γ_{5}$	0.0419	0.68
$γ_{6}$	-0.0290	-0.51
$γ_{7}$	0.0592	1.27
$γ_{8}$	-0.0385	-1.28

Estimation Period:
Jul 31, 1995 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts