V-Lab: James Hardie Industries PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

James Hardie Industries PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:29.04% (-0.57%)

Analysis last updated: Wednesday, May 15, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8939	10.00
$α$	0.0821	6.34
$β$	0.8110	27.79
$γ_{1}$	0.0172	1.46
$γ_{2}$	-0.0355	-1.99
$γ_{3}$	0.0399	3.17
$γ_{4}$	-0.0515	-4.29
$γ_{5}$	0.0563	4.39
$γ_{6}$	-0.0361	-3.35

Estimation Period:
Jan 2, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts