V-Lab: Wotif.com Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Wotif.com Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 7th, 2014:48.17% (-0.16%)

Analysis last updated: Friday, January 29, 2016 at 02:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9622	4.96
$α$	0.1582	4.00
$β$	0.4995	4.93
$γ_{1}$	0.3069	1.42
$γ_{2}$	-0.5602	-1.85
$γ_{3}$	0.3425	1.51
$γ_{4}$	0.1012	0.36
$γ_{5}$	-0.3636	-1.29

Estimation Period:
Jun 2, 2006 to Oct 31, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts