V-Lab: OZ Minerals Ltd Spline-GARCH Volatility Analysis

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V-Lab

OZ Minerals Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 8th, 2023:0.59% (-0.01%)

Analysis last updated: Saturday, May 6, 2023 at 11:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4580	4.50
$α$	0.0882	6.79
$β$	0.8886	65.28
$γ_{1}$	-0.1815	-1.19
$γ_{2}$	0.3401	1.46
$γ_{3}$	-0.4039	-2.28
$γ_{4}$	0.4919	3.01
$γ_{5}$	-0.3845	-3.02
$γ_{6}$	0.2021	1.72
$γ_{7}$	-0.0507	-0.41
$γ_{8}$	-0.1213	-1.11
$γ_{9}$	0.3070	2.94
$γ_{10}$	-1.1021	-7.36

Estimation Period:
Jan 7, 1992 to May 5, 2023

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Volatility Forecasts

Volatility Forecasts