V-Lab: Downer EDI Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Downer EDI Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:37.88% (+3.71%)

Analysis last updated: Saturday, April 27, 2024 at 07:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6472	7.54
$α$	0.0855	5.01
$β$	0.6547	8.92
$γ_{1}$	-0.2273	-2.21
$γ_{2}$	0.3447	2.21
$γ_{3}$	-0.0219	-0.23
$γ_{4}$	-0.1688	-1.71
$γ_{5}$	0.0213	0.15
$γ_{6}$	0.1306	1.06
$γ_{7}$	-0.1923	-2.26
$γ_{8}$	0.2837	3.64
$γ_{9}$	-0.2626	-2.25
$γ_{10}$	0.1025	0.85

Estimation Period:
Jan 4, 1996 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts