V-Lab: Wesfarmers Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Wesfarmers Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:16.45% (+0.53%)

Analysis last updated: Saturday, April 27, 2024 at 08:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0117	8.54
$α$	0.1103	7.98
$β$	0.7887	30.12
$γ_{1}$	0.0179	0.52
$γ_{2}$	-0.0054	-0.10
$γ_{3}$	0.0027	0.06
$γ_{4}$	-0.1149	-2.36
$γ_{5}$	0.2629	5.83
$γ_{6}$	-0.3333	-7.89
$γ_{7}$	0.2687	5.93
$γ_{8}$	-0.1127	-2.38
$γ_{9}$	0.0065	0.14
$γ_{10}$	0.0097	0.28

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

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