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

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V-Lab

Worley Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:19.37% (+0.40%)

Analysis last updated: Saturday, April 20, 2024 at 08:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6220	3.01
$α$	0.0890	6.09
$β$	0.8253	30.62
$γ_{1}$	-0.1950	-0.68
$γ_{2}$	0.3360	0.83
$γ_{3}$	-0.3935	-2.00
$γ_{4}$	0.4708	2.65
$γ_{5}$	-0.1988	-0.81
$γ_{6}$	-0.2399	-1.01
$γ_{7}$	0.4670	3.17
$γ_{8}$	-0.5059	-4.98
$γ_{9}$	0.4062	5.13

Estimation Period:
Nov 28, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts