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

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V-Lab

Ascension Properties Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 19th, 2017:15.39% (-1.37%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4092	1.82
$α$	0.2613	3.80
$β$	0.0000	0.00
$γ_{1}$	6.9732	0.50
$γ_{2}$	-16.5591	-0.86
$γ_{3}$	26.4041	2.83
$γ_{4}$	-33.4440	-3.36
$γ_{5}$	37.3732	2.55
$γ_{6}$	-30.1619	-1.28
$γ_{7}$	-8.7474	-0.34
$γ_{8}$	26.6146	1.23

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts