V-Lab: Wotif.com Holdings Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Wotif.com Holdings Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, November 7th, 2014:24.69% (-0.28%)

Analysis last updated: Friday, January 29, 2016 at 02:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2627	4.69
$α$	0.1362	3.65
$β$	0.3871	3.27
$γ_{1}$	1.4614	3.38
$γ_{2}$	-2.1183	-3.56
$γ_{3}$	0.7181	1.97
$γ_{4}$	0.1554	0.38
$γ_{5}$	-0.5647	-1.03
$γ_{6}$	1.3501	1.38
$γ_{7}$	-3.2515	-1.58

Estimation Period:
Jun 2, 2006 to Oct 31, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts