V-Lab: Incitec Pivot Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Incitec Pivot Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:21.12% (+0.39%)

Analysis last updated: Saturday, April 27, 2024 at 07:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2788	3.82
$α$	0.1398	4.62
$β$	0.6703	9.19
$γ_{1}$	0.0005	0.00
$γ_{2}$	-0.0886	-0.25
$γ_{3}$	-0.1015	-0.46
$γ_{4}$	0.2861	1.85
$γ_{5}$	0.0241	0.21
$γ_{6}$	-0.3354	-3.06
$γ_{7}$	0.4839	4.57
$γ_{8}$	-0.5157	-4.96
$γ_{9}$	0.3481	4.04

Estimation Period:
Jul 28, 2003 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts