V-Lab: Ascension Properties Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Ascension Properties Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 19th, 2017:9.81% (-6.21%)

Analysis last updated: Tuesday, April 18, 2017 at 06:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5117	0.44
$α$	0.9290	3.09
$β$	0.0000	0.00
$γ_{1}$	-28.8788	-1.55
$γ_{2}$	43.9369	1.75
$γ_{3}$	-32.3511	-2.12
$γ_{4}$	47.3235	2.59
$γ_{5}$	-62.6009	-2.89
$γ_{6}$	65.9725	2.30
$γ_{7}$	-48.5947	-1.47
$γ_{8}$	14.6786	0.68
$γ_{9}$	-27.3548	-1.30
$γ_{10}$	51.6310	2.75

Estimation Period:
Jun 12, 2012 to Apr 13, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts