V-Lab: Wesfarmers Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Wesfarmers Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:22.22% (-0.58%)

Analysis last updated: Tuesday, May 7, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0068	8.59
$α$	0.1090	7.88
$β$	0.7885	29.75
$γ_{1}$	0.0159	0.47
$γ_{2}$	-0.0029	-0.05
$γ_{3}$	0.0022	0.05
$γ_{4}$	-0.1142	-2.38
$γ_{5}$	0.2614	5.89
$γ_{6}$	-0.3322	-8.01
$γ_{7}$	0.2698	6.07
$γ_{8}$	-0.1170	-2.53
$γ_{9}$	0.0138	0.30
$γ_{10}$	0.0033	0.10

Estimation Period:
Jan 1, 1990 to May 3, 2024

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