V-Lab: AusNet Services Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AusNet Services Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, February 7th, 2022:23.51% (-0.61%)

Analysis last updated: Tuesday, July 19, 2022 at 11:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6266	7.51
$α$	0.0930	5.06
$β$	0.7302	15.01
$γ_{1}$	0.6045	3.29
$γ_{2}$	-1.3715	-4.86
$γ_{3}$	1.1848	6.04
$γ_{4}$	-0.6164	-3.17
$γ_{5}$	0.3680	2.00
$γ_{6}$	-0.3210	-1.89
$γ_{7}$	0.2523	1.42
$γ_{8}$	-0.0086	-0.04
$γ_{9}$	-0.1988	-0.83

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts