V-Lab: UGL Ltd Spline-GARCH Volatility Analysis

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V-Lab

UGL Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 29th, 2016:69.46% (-24.71%)

Analysis last updated: Wednesday, December 28, 2016 at 07:18 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6838	7.39
$α$	0.1788	6.48
$β$	0.3318	4.22
$γ_{1}$	0.1511	1.77
$γ_{2}$	-0.0978	-0.74
$γ_{3}$	-0.1282	-1.21
$γ_{4}$	0.0515	0.52
$γ_{5}$	0.1664	1.77
$γ_{6}$	-0.1731	-2.10
$γ_{7}$	-0.1838	-2.25
$γ_{8}$	0.5029	5.03
$γ_{9}$	-0.3463	-2.64
$γ_{10}$	-0.0679	-0.26

Estimation Period:
Dec 19, 1994 to Dec 23, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts