V-Lab: Wollongong Coal Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Wollongong Coal Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 11th, 2018:197.48% (-2.18%)

Analysis last updated: Monday, December 10, 2018 at 05:47 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8347	2.93
$α$	0.0382	3.02
$β$	0.9329	38.39
$γ_{1}$	1.4405	1.79
$γ_{2}$	-3.2044	-2.14
$γ_{3}$	3.8750	2.51
$γ_{4}$	-3.7672	-3.15
$γ_{5}$	3.9532	4.34
$γ_{6}$	-3.9078	-4.18
$γ_{7}$	1.6740	2.36

Estimation Period:
Jul 10, 2007 to Dec 7, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts