V-Lab: Premier Investments Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Premier Investments Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:26.46% (+0.27%)

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
$ω$	1.3449	6.24
$α$	0.1579	5.75
$β$	0.5641	9.13
$γ_{1}$	0.0125	0.14
$γ_{2}$	-0.1188	-0.88
$γ_{3}$	0.1836	2.34
$γ_{4}$	-0.1264	-1.89
$γ_{5}$	0.1589	2.09
$γ_{6}$	-0.2437	-3.33
$γ_{7}$	0.2707	3.29
$γ_{8}$	-0.2204	-2.45
$γ_{9}$	0.1048	1.61

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts