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

V-Lab

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V-Lab

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

Volatility Prediction for Friday, June 16th, 2017:487.14% (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
$ω$	0.0426	2.10
$α$	0.0000	0.00
$β$	0.0000	0.00
$γ_{1}$	-125.9008	-0.22
$γ_{2}$	579.2541	0.67
$γ_{3}$	-1426.6350	-2.35
$γ_{4}$	2037.8500	3.22
$γ_{5}$	-1558.5690	-2.49
$γ_{6}$	1388.5180	2.07
$γ_{7}$	-2567.3440	-2.53
$γ_{8}$	3286.1450	2.70
$γ_{9}$	-1816.8480	-1.71
$γ_{10}$	-889.4217	-1.39

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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