V-Lab: Origin Energy Ltd MF2-GARCH Volatility Analysis

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V-Lab

Origin Energy Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:18.84% (-0.33%)

Analysis last updated: Thursday, May 2, 2024 at 03:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0445	11.70
$β$	0.8296	61.63
$γ$	0.0635	8.13
$λ_{1}$	0.0473	1.12
$λ_{2}$	0.0435	1.26
$λ_{3}$	0.9425	19.93

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts