V-Lab: Acrux Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Acrux Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:111.23% (+27.56%)

Analysis last updated: Thursday, May 2, 2024 at 04:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8774	11.92
$α$	0.1445	4.10
$β$	0.4405	3.71
$γ_{1}$	0.0736	1.02
$γ_{2}$	-0.2128	-1.73
$γ_{3}$	0.3500	3.34
$γ_{4}$	-0.3892	-3.20
$γ_{5}$	0.3049	2.23
$γ_{6}$	-0.2343	-1.91
$γ_{7}$	0.2472	1.68

Estimation Period:
Sep 29, 2004 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts