V-Lab: eXtract Group Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

eXtract Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 27th, 2019:71.62% (+2.46%)

Analysis last updated: Tuesday, February 26, 2019 at 04:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7968	4.55
$α$	0.1074	4.28
$β$	0.7807	15.27
$γ_{1}$	0.1651	0.34
$γ_{2}$	-0.3070	-0.40
$γ_{3}$	0.4965	0.74
$γ_{4}$	-0.4612	-0.68
$γ_{5}$	0.0779	0.13
$γ_{6}$	0.9726	1.07
$γ_{7}$	-2.5459	-1.95
$γ_{8}$	2.2347	2.23

Estimation Period:
May 12, 2008 to Feb 22, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts