New Zealand Exchange Ltd NZX 15 Total Return Index GJR-GARCH Volatility Analysis
Inactive
Last recorded values (Monday, June 18th, 2018):
1 Day
10.62%
1 Week
10.65%
1 Month
10.77%
Analysis last updated: Monday, March 1, 2021 at 08:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0103 | 13.87 | |
| 0.0208 | 8.78 | |
| 0.9388 | 331.85 | |
| 0.0413 | 7.29 |
Estimation Period:
Oct 2, 2001 to Jun 15, 2018
Oct 2, 2001 to Jun 15, 2018
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