V-Lab: Aurizon Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Aurizon Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:16.62% (+0.76%)

Analysis last updated: Wednesday, May 8, 2024 at 08:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1128	7.73
$α$	0.0888	3.11
$β$	0.7422	10.41
$γ_{1}$	-0.3473	-2.45
$γ_{2}$	0.7669	3.32
$γ_{3}$	-0.7472	-3.63
$γ_{4}$	0.4784	2.55
$γ_{5}$	-0.1188	-0.84
$γ_{6}$	-0.1845	-1.54
$γ_{7}$	0.2471	2.61

Estimation Period:
Nov 22, 2010 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts