V-Lab: PanAust Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

PanAust Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 10th, 2015:65.64% (-0.38%)

Analysis last updated: Friday, January 29, 2016 at 02:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.7000	2.26
$α$	0.0513	3.27
$β$	0.9228	23.35
$γ_{1}$	0.2938	2.65
$γ_{2}$	-0.4791	-3.53
$γ_{3}$	0.3493	3.88
$γ_{4}$	-0.2698	-2.73
$γ_{5}$	0.1335	1.32
$γ_{6}$	0.1447	0.67

Estimation Period:
Jan 2, 1996 to Jun 5, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts