V-Lab: Santos Ltd Spline-GARCH Volatility Analysis

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V-Lab

Santos Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:18.48% (-0.22%)

Analysis last updated: Wednesday, May 15, 2024 at 07:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8012	7.36
$α$	0.0611	7.11
$β$	0.9160	83.71
$γ_{1}$	-0.0013	-0.12
$γ_{2}$	0.0112	0.67
$γ_{3}$	-0.0250	-1.85
$γ_{4}$	0.0370	2.73
$γ_{5}$	-0.0698	-2.90

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts