V-Lab: Boral Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Boral Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:24.53% (-0.28%)

Analysis last updated: Friday, May 3, 2024 at 05:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9361	6.72
$α$	0.0944	4.69
$β$	0.8064	25.93
$γ_{1}$	-0.0597	-0.96
$γ_{2}$	0.1764	1.89
$γ_{3}$	-0.2003	-3.51
$γ_{4}$	0.0809	1.73
$γ_{5}$	-0.0135	-0.24
$γ_{6}$	0.1312	1.71
$γ_{7}$	-0.2375	-2.23
$γ_{8}$	0.1635	1.78

Estimation Period:
Feb 22, 2000 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts