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

V-Lab

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V-Lab

Origin Energy Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:14.07% (-0.46%)

Analysis last updated: Thursday, May 2, 2024 at 03:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8070	6.24
$α$	0.0708	6.54
$β$	0.8723	41.24
$γ_{1}$	-0.0328	-0.73
$γ_{2}$	0.0889	1.42
$γ_{3}$	-0.0898	-1.90
$γ_{4}$	0.0013	0.03
$γ_{5}$	0.1149	2.02
$γ_{6}$	-0.1988	-2.54
$γ_{7}$	0.2408	2.54
$γ_{8}$	-0.2253	-2.71
$γ_{9}$	0.2114	2.78
$γ_{10}$	-0.3711	-3.08

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

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