V-Lab: iiNet Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

iiNet Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 25th, 2015:21.90% (-0.61%)

Analysis last updated: Friday, April 29, 2016 at 05:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0921	4.06
$α$	0.4535	2.67
$β$	0.2330	2.68
$γ_{1}$	-0.2269	-3.98
$γ_{2}$	0.4516	5.74
$γ_{3}$	-0.4432	-8.93
$γ_{4}$	0.3647	6.02
$γ_{5}$	-0.2186	-1.97

Estimation Period:
Sep 20, 1999 to Aug 21, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts