V-Lab: Village Roadshow Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Village Roadshow Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 17th, 2020:35.35% (-0.09%)

Analysis last updated: Wednesday, December 16, 2020 at 10:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0473	6.21
$α$	0.1607	7.34
$β$	0.5780	10.80
$γ_{1}$	-0.1030	-1.45
$γ_{2}$	0.1832	1.76
$γ_{3}$	-0.0781	-1.23
$γ_{4}$	-0.0715	-1.33
$γ_{5}$	0.1192	2.08
$γ_{6}$	-0.0025	-0.04
$γ_{7}$	-0.1783	-2.93
$γ_{8}$	0.2364	4.59
$γ_{9}$	-0.1119	-1.96
$γ_{10}$	-0.0158	-0.30

Estimation Period:
Jan 1, 1990 to Dec 4, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts