V-Lab: AGL Energy Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

AGL Energy Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:23.41% (-0.78%)

Analysis last updated: Thursday, May 2, 2024 at 04:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4835	6.97
$α$	0.0809	5.85
$β$	0.7690	17.15
$γ_{1}$	0.0170	0.53
$γ_{2}$	0.0332	0.71
$γ_{3}$	-0.1526	-5.14
$γ_{4}$	0.2354	8.60
$γ_{5}$	-0.2353	-6.46
$γ_{6}$	0.1450	4.34
$γ_{7}$	-0.0436	-1.53
$γ_{8}$	0.0335	1.03
$γ_{9}$	-0.1228	-2.25

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts