V-Lab: Nufarm Ltd/Australia Spline-GARCH Volatility Analysis

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V-Lab

Nufarm Ltd/Australia Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:22.94% (+1.06%)

Analysis last updated: Thursday, May 16, 2024 at 07:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.9516	7.45
$α$	0.0979	5.58
$β$	0.6443	10.84
$γ_{1}$	0.1651	3.30
$γ_{2}$	-0.1678	-2.19
$γ_{3}$	0.1287	2.21
$γ_{4}$	-0.2572	-4.63
$γ_{5}$	0.1789	2.76
$γ_{6}$	-0.1278	-1.63
$γ_{7}$	0.2740	3.56
$γ_{8}$	-0.4074	-4.27
$γ_{9}$	0.2925	1.91

Estimation Period:
Sep 5, 1990 to May 10, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts