V-Lab: Metcash Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Metcash Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:21.82% (+5.09%)

Analysis last updated: Friday, May 3, 2024 at 05:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8584	5.79
$α$	0.1276	6.80
$β$	0.7630	21.41
$γ_{1}$	0.0670	1.57
$γ_{2}$	-0.2307	-3.93
$γ_{3}$	0.2985	8.15
$γ_{4}$	-0.2235	-5.89
$γ_{5}$	0.2149	5.23
$γ_{6}$	-0.2253	-4.79
$γ_{7}$	0.0980	2.13
$γ_{8}$	0.0262	0.90

Estimation Period:
Jun 17, 1994 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts