V-Lab: Toll Holdings Ltd Spline-GARCH Volatility Analysis

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V-Lab

Toll Holdings Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 15th, 2015:51.44% (-0.01%)

Analysis last updated: Friday, January 29, 2016 at 03:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8275	7.62
$α$	0.1733	5.32
$β$	0.4691	7.02
$γ_{1}$	-0.2258	-4.30
$γ_{2}$	0.3583	4.22
$γ_{3}$	-0.2738	-3.83
$γ_{4}$	0.3320	4.86
$γ_{5}$	-0.3072	-5.25
$γ_{6}$	0.0733	0.94
$γ_{7}$	0.3057	1.19

Estimation Period:
Oct 12, 1993 to May 8, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts