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

V-Lab

| |

V-Lab

Orica Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:29.64% (+9.48%)

Analysis last updated: Saturday, April 27, 2024 at 07:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0511	5.23
$α$	0.2250	6.28
$β$	0.5400	9.40
$γ_{1}$	0.0122	0.25
$γ_{2}$	-0.0087	-0.13
$γ_{3}$	0.0077	0.19
$γ_{4}$	-0.0487	-1.16
$γ_{5}$	0.1234	2.89
$γ_{6}$	-0.2175	-4.79
$γ_{7}$	0.2637	4.34
$γ_{8}$	-0.2404	-3.54
$γ_{9}$	0.1691	2.74
$γ_{10}$	-0.0744	-2.09

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts