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

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V-Lab

Tatts Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 14th, 2017:20.14% (-0.59%)

Analysis last updated: Wednesday, December 13, 2017 at 06:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6673	5.05
$α$	0.0713	2.89
$β$	0.6120	5.29
$γ_{1}$	-0.3985	-0.70
$γ_{2}$	0.7538	0.95
$γ_{3}$	-1.1363	-2.88
$γ_{4}$	1.0539	3.26
$γ_{5}$	0.1567	0.45
$γ_{6}$	-0.9933	-2.89
$γ_{7}$	0.9811	2.92
$γ_{8}$	-0.4035	-1.18
$γ_{9}$	-0.3432	-1.11
$γ_{10}$	0.5074	2.57

Estimation Period:
Jul 7, 2005 to Dec 8, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts