V-Lab: Coca-Cola Amatil Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Coca-Cola Amatil Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 22nd, 2021:13.78% (-0.27%)

Analysis last updated: Wednesday, April 21, 2021 at 09:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7107	7.80
$α$	0.1915	8.09
$β$	0.5515	12.20
$γ_{1}$	-0.0302	-0.98
$γ_{2}$	0.0866	1.95
$γ_{3}$	-0.1952	-7.00
$γ_{4}$	0.2860	12.38
$γ_{5}$	-0.2564	-11.87
$γ_{6}$	0.1777	8.14
$γ_{7}$	-0.0863	-3.32
$γ_{8}$	-0.0275	-0.66

Estimation Period:
Jan 1, 1990 to Apr 16, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts