V-Lab: CSR Ltd MF2-GARCH Volatility Analysis

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V-Lab

CSR Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:20.72% (-0.02%)

Analysis last updated: Saturday, May 11, 2024 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	101
$α$	0.0453	17.33
$β$	0.8677	164.33
$γ$	0.0465	12.96
$λ_{1}$	0.0131	3.65
$λ_{2}$	0.0217	5.21
$λ_{3}$	0.9746	189.83

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts