V-Lab: Australian Masters Yield Fund No 3 Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Australian Masters Yield Fund No 3 Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 1st, 2018:75.19% (-156.09%)

Analysis last updated: Wednesday, February 28, 2018 at 06:36 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4520	2.05
$α$	0.5724	1.31
$β$	0.0000	0.00
$γ_{1}$	689.9508	2.72
$γ_{2}$	-640.8695	-1.83
$γ_{3}$	-505.0968	-2.16
$γ_{4}$	976.1484	2.40
$γ_{5}$	-877.5473	-1.89
$γ_{6}$	378.4727	0.75
$γ_{7}$	37.7015	0.10
$γ_{8}$	107.5092	0.60
$γ_{9}$	-298.2270	-3.33

Estimation Period:
Oct 31, 2013 to Nov 17, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Australian Masters Yield Fund No 3 Ltd Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
GAS-GARCH Student T