V-Lab: AGL Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AGL Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:32.97% (+0.14%)

Analysis last updated: Thursday, May 16, 2024 at 07:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5025	6.72
$α$	0.0811	5.71
$β$	0.7565	15.86
$γ_{1}$	0.0346	0.89
$γ_{2}$	-0.0033	-0.06
$γ_{3}$	-0.0769	-2.45
$γ_{4}$	0.0486	1.22
$γ_{5}$	0.0914	1.97
$γ_{6}$	-0.2413	-5.53
$γ_{7}$	0.2567	5.53
$γ_{8}$	-0.1408	-3.36
$γ_{9}$	0.0525	1.36
$γ_{10}$	-0.0462	-1.66

Estimation Period:
Jan 1, 1990 to May 10, 2024

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