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

V-Lab

| |

V-Lab

Computershare Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:20.94% (-1.34%)

Analysis last updated: Wednesday, May 1, 2024 at 04:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7195	5.37
$α$	0.1672	6.92
$β$	0.6028	12.95
$γ_{1}$	0.0298	0.82
$γ_{2}$	-0.0976	-1.84
$γ_{3}$	0.1086	2.98
$γ_{4}$	-0.0791	-2.32
$γ_{5}$	0.0742	2.78
$γ_{6}$	-0.0481	-2.15
$γ_{7}$	0.0158	0.96

Estimation Period:
May 27, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts