V-Lab: S&P/ASX 200 AGARCH Volatility Analysis

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V-Lab

S&P/ASX 200 AGARCH Volatility Analysis

Volatility Prediction for Tuesday, March 28th, 2023:15.15% (-0.86%)

Analysis last updated: Monday, March 27, 2023, 01:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0010	0.58
$α$	0.0805	37.01
$β$	0.8907	335.61
$γ$	0.5527	28.24

Estimation Period:
May 29, 1992 to Mar 24, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts