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

V-Lab

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V-Lab

AGL Energy Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:29.11% (+0.11%)

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
$ω$	1.4782	7.02
$α$	0.0778	5.82
$β$	0.7763	17.61
$γ_{1}$	0.0169	0.53
$γ_{2}$	0.0332	0.72
$γ_{3}$	-0.1524	-5.13
$γ_{4}$	0.2357	8.59
$γ_{5}$	-0.2365	-6.48
$γ_{6}$	0.1462	4.35
$γ_{7}$	-0.0427	-1.49
$γ_{8}$	0.0276	0.83
$γ_{9}$	-0.1008	-1.69

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

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Volatility Forecasts

Volatility Forecasts