V-Lab: ALS Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ALS Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:20.98% (-1.20%)

Analysis last updated: Saturday, May 4, 2024 at 06:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5574	3.47
$α$	0.1246	6.15
$β$	0.7302	18.02
$γ_{1}$	0.1651	1.54
$γ_{2}$	-0.1901	-1.17
$γ_{3}$	-0.0085	-0.07
$γ_{4}$	0.1607	1.58
$γ_{5}$	-0.2717	-3.35
$γ_{6}$	0.2734	4.53
$γ_{7}$	-0.2332	-4.10
$γ_{8}$	0.1182	1.86
$γ_{9}$	0.0164	0.21
$γ_{10}$	-0.1213	-1.00

Estimation Period:
Jan 24, 1990 to Apr 26, 2024

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