V-Lab: Orica Ltd Spline-GARCH Volatility Analysis

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V-Lab

Orica Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:15.30% (-2.32%)

Analysis last updated: Saturday, May 11, 2024 at 12:38 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0640	5.07
$α$	0.1848	6.93
$β$	0.5674	9.52
$γ_{1}$	0.0305	0.61
$γ_{2}$	-0.0377	-0.55
$γ_{3}$	0.0295	0.77
$γ_{4}$	-0.0724	-1.80
$γ_{5}$	0.1507	3.71
$γ_{6}$	-0.2501	-5.78
$γ_{7}$	0.3031	5.22
$γ_{8}$	-0.2972	-4.65
$γ_{9}$	0.2839	4.44
$γ_{10}$	-0.3785	-4.10

Estimation Period:
Jan 1, 1990 to May 3, 2024

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