V-Lab: AusNet Services Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AusNet Services Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, February 7th, 2022:25.73% (-0.56%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6358	7.57
$α$	0.0939	5.10
$β$	0.7304	15.09
$γ_{1}$	0.6286	3.40
$γ_{2}$	-1.4106	-4.97
$γ_{3}$	1.2127	6.16
$γ_{4}$	-0.6404	-3.29
$γ_{5}$	0.3898	2.13
$γ_{6}$	-0.3452	-2.06
$γ_{7}$	0.2889	1.76
$γ_{8}$	-0.0822	-0.48
$γ_{9}$	-0.0141	-0.05

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts