V-Lab: AusNet Services GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

AusNet Services GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, February 7th, 2022:18.38% (-0.58%)

Analysis last updated: Tuesday, July 19, 2022 at 11:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0914	10.14
$α$	0.0523	8.37
$β$	0.8754	164.95
$γ$	0.0630	5.56

Estimation Period:
Dec 14, 2005 to Feb 4, 2022

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Volatility Forecasts

Volatility Forecasts