V-Lab: Naked Brand Group Inc Spline-GARCH Volatility Analysis

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Naked Brand Group Inc Spline-GARCH Volatility Analysis

This asset is not actively trading

Analysis last updated: Tuesday, June 19, 2018 at 09:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7387	1.81
$α$	0.2032	4.01
$β$	0.4405	5.46
$γ_{1}$	-0.7963	-0.35
$γ_{2}$	-0.1188	-0.04
$γ_{3}$	1.2668	1.04
$γ_{4}$	1.6088	0.98
$γ_{5}$	-6.6910	-2.50
$γ_{6}$	11.4072	3.07

Estimation Period:
Sep 4, 2012 to Jun 15, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts