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

V-Lab

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V-Lab

eXtract Group Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 27th, 2019:41.61% (+4.33%)

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
$ω$	0.7504	4.22
$α$	0.1070	3.78
$β$	0.7513	11.84
$γ_{1}$	-0.0630	-0.08
$γ_{2}$	0.1474	0.12
$γ_{3}$	-0.1383	-0.16
$γ_{4}$	0.4959	0.74
$γ_{5}$	-0.7803	-1.23
$γ_{6}$	0.5695	0.76
$γ_{7}$	0.6028	0.63
$γ_{8}$	-2.5750	-1.48
$γ_{9}$	1.6567	0.69

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts