V-Lab: Singapore Telecommunications Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Singapore Telecommunications Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 1st, 2015:15.01% (-0.24%)

Analysis last updated: Friday, January 29, 2016 at 01:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7411	5.43
$α$	0.0653	5.40
$β$	0.8665	33.88
$γ_{1}$	-0.3883	-3.14
$γ_{2}$	0.6430	3.48
$γ_{3}$	-0.4181	-3.27
$γ_{4}$	0.1480	1.27
$γ_{5}$	0.0941	0.80
$γ_{6}$	-0.0935	-1.09

Estimation Period:
Sep 10, 2001 to May 29, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts