V-Lab: Treasury Wine Estates Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Treasury Wine Estates Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:22.12% (-0.59%)

Analysis last updated: Saturday, April 20, 2024 at 08:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4505	6.44
$α$	0.1321	3.25
$β$	0.1868	1.52
$γ_{1}$	0.9472	3.05
$γ_{2}$	-1.3468	-2.51
$γ_{3}$	0.3983	0.98
$γ_{4}$	0.1036	0.37
$γ_{5}$	0.1240	0.51
$γ_{6}$	-0.7456	-2.94
$γ_{7}$	0.8216	3.15
$γ_{8}$	-0.3239	-1.62

Estimation Period:
May 10, 2011 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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