V-Lab: REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:27.66% (-2.09%)

Analysis last updated: Thursday, May 2, 2024 at 03:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6675	8.58
$α$	0.1389	7.75
$β$	0.6619	16.10
$γ_{1}$	-0.3025	-5.02
$γ_{2}$	0.4737	4.75
$γ_{3}$	-0.2508	-3.28
$γ_{4}$	0.1959	3.29
$γ_{5}$	-0.2391	-4.63
$γ_{6}$	0.2457	4.88
$γ_{7}$	-0.1866	-4.10
$γ_{8}$	0.0750	2.35

Estimation Period:
Dec 1, 1999 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts