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

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V-Lab

Worley Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:36.83% (-0.33%)

Analysis last updated: Saturday, May 4, 2024 at 07:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6263	2.99
$α$	0.0929	6.08
$β$	0.8208	29.48
$γ_{1}$	-0.1940	-0.67
$γ_{2}$	0.3341	0.82
$γ_{3}$	-0.3921	-1.99
$γ_{4}$	0.4729	2.67
$γ_{5}$	-0.2075	-0.84
$γ_{6}$	-0.2261	-0.95
$γ_{7}$	0.4482	3.00
$γ_{8}$	-0.4754	-4.60
$γ_{9}$	0.3742	4.60

Estimation Period:
Nov 28, 2002 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts