V-Lab: CSL Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

CSL Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:17.57% (+1.00%)

Analysis last updated: Friday, May 17, 2024 at 08:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7319	8.27
$α$	0.1162	7.66
$β$	0.6947	18.17
$γ_{1}$	0.0198	0.28
$γ_{2}$	-0.0133	-0.11
$γ_{3}$	-0.1105	-1.21
$γ_{4}$	0.2245	3.34
$γ_{5}$	-0.2499	-4.74
$γ_{6}$	0.2079	4.18
$γ_{7}$	-0.0764	-1.38
$γ_{8}$	0.0064	0.09
$γ_{9}$	-0.0365	-0.47
$γ_{10}$	0.0073	0.07

Estimation Period:
May 30, 1994 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts