V-Lab: REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:24.20% (-0.45%)

Analysis last updated: Saturday, April 20, 2024 at 08:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6529	8.52
$α$	0.1409	7.80
$β$	0.6559	15.74
$γ_{1}$	-0.3065	-5.09
$γ_{2}$	0.4796	4.82
$γ_{3}$	-0.2545	-3.34
$γ_{4}$	0.1988	3.34
$γ_{5}$	-0.2405	-4.67
$γ_{6}$	0.2451	4.88
$γ_{7}$	-0.1853	-4.07
$γ_{8}$	0.0742	2.30

Estimation Period:
Dec 1, 1999 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts