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

V-Lab

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V-Lab

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

Volatility Prediction for Thursday, March 1st, 2018:16.08% (0.00%)

Analysis last updated: Wednesday, February 28, 2018 at 06:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2413	1.11
$α$	0.0000	0.00
$β$	0.0973	0.07
$γ_{1}$	-46.9596	-0.13
$γ_{2}$	376.5057	0.81
$γ_{3}$	-914.4249	-4.19
$γ_{4}$	1171.0560	3.12
$γ_{5}$	-1006.6830	-2.36
$γ_{6}$	620.9650	1.36
$γ_{7}$	-428.6381	-1.23
$γ_{8}$	698.9082	3.47
$γ_{9}$	-1111.1660	-5.21

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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