V-Lab: David Jones Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

David Jones Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 21st, 2014:31.71% (-0.08%)

Analysis last updated: Friday, January 29, 2016 at 02:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4416	7.30
$α$	0.0503	3.79
$β$	0.8642	20.84
$γ_{1}$	-0.1845	-4.87
$γ_{2}$	0.2295	4.39
$γ_{3}$	-0.0182	-0.51
$γ_{4}$	-0.0785	-1.55
$γ_{5}$	0.1036	0.84

Estimation Period:
Nov 27, 1995 to Jul 18, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts