V-Lab: Orica Ltd MF2-GARCH Volatility Analysis

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V-Lab

Orica Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:28.19% (+11.04%)

Analysis last updated: Saturday, April 27, 2024 at 07:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	101
$α$	0.2333	20.65
$β$	0.3688	17.22
$γ$	-0.0032	-0.21
$λ_{1}$	0.1991	0.71
$λ_{2}$	0.1568	0.78
$λ_{3}$	0.7763	2.58

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts