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

V-Lab

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V-Lab

Incitec Pivot Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:21.27% (+0.38%)

Analysis last updated: Saturday, April 27, 2024 at 07:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2790	3.83
$α$	0.1401	4.61
$β$	0.6695	9.15
$γ_{1}$	0.0001	0.00
$γ_{2}$	-0.0867	-0.25
$γ_{3}$	-0.1047	-0.47
$γ_{4}$	0.2885	1.86
$γ_{5}$	0.0250	0.22
$γ_{6}$	-0.3394	-3.08
$γ_{7}$	0.4893	4.41
$γ_{8}$	-0.5222	-3.95
$γ_{9}$	0.3591	1.74

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

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Volatility Forecasts