V-Lab: Whitehaven Coal Ltd Spline-GARCH Volatility Analysis

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V-Lab

Whitehaven Coal Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:24.72% (-0.45%)

Analysis last updated: Saturday, May 11, 2024 at 12:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8993	4.33
$α$	0.0581	5.21
$β$	0.8877	38.47
$γ_{1}$	-0.7753	-3.62
$γ_{2}$	1.2404	3.93
$γ_{3}$	-0.7392	-3.39
$γ_{4}$	0.6799	3.59
$γ_{5}$	-0.9009	-5.04
$γ_{6}$	0.8053	4.59
$γ_{7}$	-0.2949	-1.64
$γ_{8}$	-0.1767	-0.90
$γ_{9}$	-0.0154	-0.05

Estimation Period:
Jun 1, 2007 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts