V-Lab: Incitec Pivot Ltd GJR-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Incitec Pivot Ltd GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.43% (+0.03%)

Analysis last updated: Thursday, May 16, 2024 at 07:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0855	9.07
$α$	0.0429	11.18
$β$	0.9042	158.77
$γ$	0.0809	10.29

Estimation Period:
Jul 28, 2003 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts