V-Lab: UGL Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

UGL Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 29th, 2016:72.91% (-24.03%)

Analysis last updated: Wednesday, December 28, 2016 at 07:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6912	7.40
$α$	0.1822	6.64
$β$	0.3380	4.41
$γ_{1}$	0.1502	1.76
$γ_{2}$	-0.0977	-0.74
$γ_{3}$	-0.1250	-1.18
$γ_{4}$	0.0487	0.48
$γ_{5}$	0.1640	1.73
$γ_{6}$	-0.1658	-2.00
$γ_{7}$	-0.1942	-2.35
$γ_{8}$	0.5215	5.22
$γ_{9}$	-0.3885	-3.49
$γ_{10}$	0.0406	0.43

Estimation Period:
Dec 19, 1994 to Dec 23, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts