V-Lab: Wesfarmers Ltd Spline-GARCH Volatility Analysis

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V-Lab

Wesfarmers Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:13.74% (+0.68%)

Analysis last updated: Saturday, April 27, 2024 at 08:00 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0205	8.82
$α$	0.1111	7.84
$β$	0.7773	28.07
$γ_{1}$	0.0210	0.64
$γ_{2}$	-0.0129	-0.24
$γ_{3}$	0.0153	0.35
$γ_{4}$	-0.1335	-2.86
$γ_{5}$	0.2858	6.65
$γ_{6}$	-0.3591	-8.91
$γ_{7}$	0.2962	6.76
$γ_{8}$	-0.1457	-3.04
$γ_{9}$	0.0621	1.06
$γ_{10}$	-0.1235	-1.31

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

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Volatility Forecasts

Volatility Forecasts