V-Lab: GrainCorp Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

GrainCorp Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:41.52% (+1.94%)

Analysis last updated: Wednesday, May 8, 2024 at 08:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7336	4.23
$α$	0.2173	5.37
$β$	0.6801	16.05
$γ_{1}$	0.0442	1.21
$γ_{2}$	0.0233	0.47
$γ_{3}$	-0.1826	-5.73
$γ_{4}$	0.1980	5.10
$γ_{5}$	-0.0903	-2.14
$γ_{6}$	-0.0346	-0.60

Estimation Period:
Mar 30, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts