V-Lab: CSR Ltd MF2-GARCH Volatility Analysis

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V-Lab

CSR Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, July 11th, 2024:17.98% (-0.02%)

Analysis last updated: Friday, July 12, 2024 at 04:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0467	19.02
$β$	0.8845	227.66
$γ$	0.0449	12.84
$λ_{1}$	0.0089	5.21
$λ_{2}$	0.0151	5.68
$λ_{3}$	0.9823	309.30

Estimation Period:
Jan 1, 1990 to Jul 5, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts