V-Lab: Metcash Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Metcash Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:16.98% (+1.44%)

Analysis last updated: Saturday, April 20, 2024 at 08:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8660	5.91
$α$	0.1258	6.72
$β$	0.7643	21.32
$γ_{1}$	0.0709	1.68
$γ_{2}$	-0.2367	-4.07
$γ_{3}$	0.3016	8.28
$γ_{4}$	-0.2247	-5.95
$γ_{5}$	0.2147	5.25
$γ_{6}$	-0.2241	-4.77
$γ_{7}$	0.0967	2.11
$γ_{8}$	0.0265	0.92

Estimation Period:
Jun 17, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts