V-Lab: Newcrest Mining Ltd MF2-GARCH Volatility Analysis

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V-Lab

Newcrest Mining Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 9th, 2023:29.64% (-0.23%)

Analysis last updated: Thursday, November 9, 2023 at 08:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0986	19.28
$β$	0.5825	22.26
$γ$	0.0184	2.58
$λ_{1}$	0.1412	1.27
$λ_{2}$	0.0932	1.67
$λ_{3}$	0.8857	12.96

Estimation Period:
Jan 1, 1990 to Nov 3, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts