V-Lab: Bega Cheese Ltd Spline-GARCH Volatility Analysis

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V-Lab

Bega Cheese Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:27.42% (-1.40%)

Analysis last updated: Thursday, May 2, 2024 at 04:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7682	4.54
$α$	0.1414	3.61
$β$	0.3648	2.82
$γ_{1}$	0.6413	1.45
$γ_{2}$	-1.5172	-2.49
$γ_{3}$	1.9965	5.31
$γ_{4}$	-2.0238	-4.80
$γ_{5}$	1.0409	1.97
$γ_{6}$	0.3733	0.61
$γ_{7}$	-1.4075	-2.74
$γ_{8}$	1.8010	4.21
$γ_{9}$	-1.5418	-3.06
$γ_{10}$	1.0224	1.35

Estimation Period:
Aug 19, 2011 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts