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 Friday, April 19th, 2024:24.72% (-0.77%)

Analysis last updated: Friday, April 19, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6653	8.57
$α$	0.1389	7.74
$β$	0.6615	16.05
$γ_{1}$	-0.3037	-5.02
$γ_{2}$	0.4755	4.75
$γ_{3}$	-0.2520	-3.28
$γ_{4}$	0.1971	3.30
$γ_{5}$	-0.2397	-4.64
$γ_{6}$	0.2445	4.85
$γ_{7}$	-0.1829	-4.00
$γ_{8}$	0.0708	2.19

Estimation Period:
Dec 1, 1999 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts