V-Lab: Cathay Pacific Airways Ltd Spline-GARCH Volatility Analysis

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V-Lab

Cathay Pacific Airways Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:16.50% (-0.62%)

Analysis last updated: Saturday, May 4, 2024 at 11:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6967	6.19
$α$	0.0824	8.68
$β$	0.8702	62.02
$γ_{1}$	-0.0852	-2.11
$γ_{2}$	0.1662	2.80
$γ_{3}$	-0.2080	-5.65
$γ_{4}$	0.2563	7.87
$γ_{5}$	-0.2241	-7.23
$γ_{6}$	0.1421	4.52
$γ_{7}$	-0.0315	-0.92
$γ_{8}$	-0.1161	-2.08

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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