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

V-Lab

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V-Lab

Premier Investments Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:24.09% (+0.31%)

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
$ω$	1.3878	6.43
$α$	0.1595	5.69
$β$	0.5593	9.03
$γ_{1}$	0.0347	0.39
$γ_{2}$	-0.1542	-1.15
$γ_{3}$	0.2077	2.67
$γ_{4}$	-0.1458	-2.19
$γ_{5}$	0.1725	2.27
$γ_{6}$	-0.2500	-3.37
$γ_{7}$	0.2656	3.06
$γ_{8}$	-0.1928	-1.83
$γ_{9}$	0.0177	0.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts