V-Lab: Worley Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Worley Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:42.48% (+20.23%)

Analysis last updated: Thursday, May 2, 2024 at 03:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6132	2.99
$α$	0.0888	6.08
$β$	0.8252	30.56
$γ_{1}$	-0.2100	-0.74
$γ_{2}$	0.3616	0.90
$γ_{3}$	-0.4135	-2.11
$γ_{4}$	0.4864	2.75
$γ_{5}$	-0.2069	-0.84
$γ_{6}$	-0.2399	-1.01
$γ_{7}$	0.4747	3.16
$γ_{8}$	-0.5248	-4.23
$γ_{9}$	0.4570	2.41

Estimation Period:
Nov 28, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts