V-Lab: Orica Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Orica Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.84% (+11.24%)

Analysis last updated: Saturday, April 27, 2024 at 07:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0633	5.07
$α$	0.1851	6.92
$β$	0.5668	9.48
$γ_{1}$	0.0305	0.61
$γ_{2}$	-0.0378	-0.55
$γ_{3}$	0.0297	0.77
$γ_{4}$	-0.0726	-1.81
$γ_{5}$	0.1509	3.72
$γ_{6}$	-0.2502	-5.79
$γ_{7}$	0.3032	5.23
$γ_{8}$	-0.2973	-4.66
$γ_{9}$	0.2842	4.44
$γ_{10}$	-0.3800	-4.09

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

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