V-Lab: Wesfarmers Ltd Spline-GARCH Volatility Analysis

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V-Lab

Wesfarmers Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:26.29% (+6.19%)

Analysis last updated: Saturday, May 11, 2024 at 12:46 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0167	8.79
$α$	0.1114	7.86
$β$	0.7768	28.06
$γ_{1}$	0.0196	0.60
$γ_{2}$	-0.0109	-0.21
$γ_{3}$	0.0141	0.32
$γ_{4}$	-0.1327	-2.85
$γ_{5}$	0.2853	6.64
$γ_{6}$	-0.3586	-8.90
$γ_{7}$	0.2953	6.75
$γ_{8}$	-0.1440	-3.01
$γ_{9}$	0.0584	1.00
$γ_{10}$	-0.1106	-1.20

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

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Volatility Forecasts

Volatility Forecasts