V-Lab: Downer EDI Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Downer EDI Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:31.14% (-0.04%)

Analysis last updated: Saturday, May 18, 2024 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6006	7.39
$α$	0.0840	4.99
$β$	0.6685	9.57
$γ_{1}$	-0.2496	-2.45
$γ_{2}$	0.3798	2.45
$γ_{3}$	-0.0431	-0.45
$γ_{4}$	-0.1584	-1.62
$γ_{5}$	0.0183	0.13
$γ_{6}$	0.1343	1.09
$γ_{7}$	-0.1971	-2.21
$γ_{8}$	0.2838	2.83
$γ_{9}$	-0.2491	-1.27
$γ_{10}$	0.0336	0.09

Estimation Period:
Jan 4, 1996 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts