V-Lab: Trade Me Group Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Trade Me Group Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2019:7.18% (-0.24%)

Analysis last updated: Thursday, May 2, 2019 at 06:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3647	5.66
$α$	0.0773	3.09
$β$	0.8425	13.17
$γ_{1}$	0.8117	1.82
$γ_{2}$	-1.3255	-1.85
$γ_{3}$	1.0791	2.00
$γ_{4}$	-1.3560	-2.72
$γ_{5}$	1.8208	3.10
$γ_{6}$	-3.2916	-3.76

Estimation Period:
Dec 13, 2011 to Apr 26, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts