V-Lab: Premier Investments Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Premier Investments Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:27.65% (+2.90%)

Analysis last updated: Thursday, May 16, 2024 at 07:55 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3887	6.44
$α$	0.1582	5.68
$β$	0.5624	9.09
$γ_{1}$	0.0347	0.40
$γ_{2}$	-0.1538	-1.15
$γ_{3}$	0.2071	2.66
$γ_{4}$	-0.1449	-2.19
$γ_{5}$	0.1713	2.27
$γ_{6}$	-0.2496	-3.40
$γ_{7}$	0.2684	3.13
$γ_{8}$	-0.2009	-1.92
$γ_{9}$	0.0387	0.30

Estimation Period:
Jan 2, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts