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

V-Lab

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V-Lab

Village Roadshow Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 17th, 2020:38.94% (-0.11%)

Analysis last updated: Wednesday, December 16, 2020 at 10:12 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2315	6.44
$α$	0.1547	7.15
$β$	0.6016	11.28
$γ_{1}$	-0.0019	-0.07
$γ_{2}$	0.0435	1.05
$γ_{3}$	-0.1022	-3.99
$γ_{4}$	0.1331	5.97
$γ_{5}$	-0.1499	-5.82
$γ_{6}$	0.1421	4.86
$γ_{7}$	-0.0815	-1.67

Estimation Period:
Jan 1, 1990 to Dec 4, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts