V-Lab: Treasury Wine Estates Ltd MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Treasury Wine Estates Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:25.78% (-3.38%)

Analysis last updated: Thursday, May 16, 2024 at 08:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.0816	10.15
$β$	0.3424	8.26
$γ$	0.1585	7.82
$λ_{1}$	0.0546	0.23
$λ_{2}$	0.0282	0.32
$λ_{3}$	0.9582	6.27

Estimation Period:
May 10, 2011 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts