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

V-Lab

| |

V-Lab

Incitec Pivot Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.27% (+0.22%)

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
$ω$	0.2792	3.83
$α$	0.1396	4.61
$β$	0.6713	9.22
$γ_{1}$	0.0002	0.00
$γ_{2}$	-0.0878	-0.25
$γ_{3}$	-0.1025	-0.46
$γ_{4}$	0.2890	1.88
$γ_{5}$	0.0195	0.17
$γ_{6}$	-0.3313	-3.02
$γ_{7}$	0.4813	4.36
$γ_{8}$	-0.5155	-3.95
$γ_{9}$	0.3443	1.70

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts