V-Lab: Charter Hall Group MF2-GARCH Volatility Analysis

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V-Lab

Charter Hall Group MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:37.37% (-1.05%)

Analysis last updated: Tuesday, November 12, 2024 at 07:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0347	11.60
$β$	0.8545	90.51
$γ$	0.0573	10.40
$λ_{1}$	0.0272	2.30
$λ_{2}$	0.0931	3.46
$λ_{3}$	0.9027	31.83

Estimation Period:
Jun 13, 2005 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts