V-Lab: Goodman Fielder Ltd Spline-GARCH Volatility Analysis

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V-Lab

Goodman Fielder Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 4th, 2015:8.98% (+1.05%)

Analysis last updated: Friday, January 29, 2016 at 03:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6447	7.28
$α$	0.1272	3.18
$β$	0.0000	0.00
$γ_{1}$	0.5460	1.01
$γ_{2}$	-0.6115	-0.74
$γ_{3}$	0.2588	0.51
$γ_{4}$	-1.8603	-3.90
$γ_{5}$	4.2824	6.44
$γ_{6}$	-4.4111	-5.92
$γ_{7}$	2.0467	2.91
$γ_{8}$	0.1851	0.19
$γ_{9}$	-3.0960	-1.15

Estimation Period:
Dec 19, 2005 to Feb 27, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts