V-Lab: Fletcher Building Ltd MF2-GARCH Volatility Analysis

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V-Lab

Fletcher Building Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:28.68% (+0.33%)

Analysis last updated: Thursday, May 9, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0408	7.92
$β$	0.7873	43.44
$γ$	0.0493	7.67
$λ_{1}$	0.0332	0.67
$λ_{2}$	0.0248	1.11
$λ_{3}$	0.9633	24.86

Estimation Period:
Apr 2, 2001 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts