V-Lab: Village Roadshow Ltd MF2-GARCH Volatility Analysis

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V-Lab

Village Roadshow Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 17th, 2020:33.40% (-0.29%)

Analysis last updated: Sunday, March 21, 2021 at 06:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0794	20.18
$β$	0.7229	74.57
$γ$	0.0892	10.27
$λ_{1}$	0.0276	1.30
$λ_{2}$	0.0084	2.07
$λ_{3}$	0.9870	137.40

Estimation Period:
Jan 1, 1990 to Dec 16, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts