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

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V-Lab

Wesfarmers Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:17.89% (-0.37%)

Analysis last updated: Saturday, April 20, 2024 at 08:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0058	8.57
$α$	0.1107	7.96
$β$	0.7866	29.76
$γ_{1}$	0.0140	0.41
$γ_{2}$	-0.0011	-0.02
$γ_{3}$	0.0038	0.08
$γ_{4}$	-0.1175	-2.43
$γ_{5}$	0.2649	5.92
$γ_{6}$	-0.3341	-7.96
$γ_{7}$	0.2678	5.98
$γ_{8}$	-0.1115	-2.40
$γ_{9}$	0.0068	0.15
$γ_{10}$	0.0085	0.25

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts