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

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V-Lab

Aurizon Holdings Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:15.82% (-0.94%)

Analysis last updated: Saturday, May 4, 2024 at 06:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1052	7.71
$α$	0.0871	3.09
$β$	0.7453	10.57
$γ_{1}$	-0.3573	-2.51
$γ_{2}$	0.7838	3.37
$γ_{3}$	-0.7598	-3.68
$γ_{4}$	0.4913	2.61
$γ_{5}$	-0.1427	-0.98
$γ_{6}$	-0.1211	-0.80
$γ_{7}$	0.0651	0.26

Estimation Period:
Nov 22, 2010 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts