V-Lab: Tatts Group Ltd Spline-GARCH Volatility Analysis

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V-Lab

Tatts Group Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 14th, 2017:16.85% (-0.75%)

Analysis last updated: Wednesday, December 13, 2017 at 06:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6599	4.95
$α$	0.0757	2.99
$β$	0.5990	5.13
$γ_{1}$	-0.4362	-0.77
$γ_{2}$	0.8104	1.02
$γ_{3}$	-1.1673	-2.94
$γ_{4}$	1.0704	3.30
$γ_{5}$	0.1608	0.46
$γ_{6}$	-1.0288	-2.98
$γ_{7}$	1.0665	3.15
$γ_{8}$	-0.5908	-1.69
$γ_{9}$	0.0731	0.18
$γ_{10}$	-0.5773	-0.77

Estimation Period:
Jul 7, 2005 to Dec 8, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts