V-Lab: Boral Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Boral Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:31.03% (-0.13%)

Analysis last updated: Saturday, April 20, 2024 at 08:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9276	6.66
$α$	0.0944	4.69
$β$	0.8056	25.81
$γ_{1}$	-0.0624	-1.00
$γ_{2}$	0.1799	1.92
$γ_{3}$	-0.2017	-3.54
$γ_{4}$	0.0814	1.75
$γ_{5}$	-0.0134	-0.24
$γ_{6}$	0.1303	1.69
$γ_{7}$	-0.2357	-2.20
$γ_{8}$	0.1619	1.75

Estimation Period:
Feb 22, 2000 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts