V-Lab: MTR Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MTR Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.05% (-1.02%)

Analysis last updated: Sunday, April 28, 2024 at 12:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3700	8.85
$α$	0.0924	8.62
$β$	0.8800	63.67
$γ_{1}$	0.0015	3.77

Estimation Period:
Oct 6, 2000 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts