V-Lab: Australian Masters Yield Fund No 2 Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Australian Masters Yield Fund No 2 Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 16th, 2017:415453.34% (0.00%)

Analysis last updated: Thursday, June 15, 2017 at 07:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0512	3.36
$α$	0.0000	0.00
$β$	0.0000	0.00
$γ_{1}$	197.8869	1.46
$γ_{2}$	-484.2302	-1.99
$γ_{3}$	892.1050	3.47
$γ_{4}$	-1266.6600	-4.41
$γ_{5}$	1367.2660	6.35
$γ_{6}$	-1151.2710	-14.02

Estimation Period:
Feb 1, 2013 to May 26, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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