V-Lab: Qantas Airways Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Qantas Airways Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:30.19% (+8.29%)

Analysis last updated: Wednesday, May 8, 2024 at 08:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6684	6.67
$α$	0.1006	6.98
$β$	0.8408	45.12
$γ_{1}$	0.0638	1.20
$γ_{2}$	-0.2124	-2.46
$γ_{3}$	0.2856	4.37
$γ_{4}$	-0.1887	-3.23
$γ_{5}$	0.0619	1.05
$γ_{6}$	-0.0512	-0.92
$γ_{7}$	0.1006	1.94
$γ_{8}$	-0.1517	-1.89

Estimation Period:
Jul 31, 1995 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts