V-Lab: Li & Fung Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Li & Fung Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 18th, 2020:43.05% (-1.48%)

Analysis last updated: Friday, May 15, 2020 at 03:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0415	6.05
$α$	0.1366	7.10
$β$	0.6254	12.89
$γ_{1}$	0.0008	0.01
$γ_{2}$	0.1181	1.48
$γ_{3}$	-0.2792	-5.15
$γ_{4}$	0.2246	3.85
$γ_{5}$	-0.0006	-0.01
$γ_{6}$	-0.1652	-2.94
$γ_{7}$	0.1128	1.51
$γ_{8}$	0.0728	1.01
$γ_{9}$	-0.1369	-2.57

Estimation Period:
Jul 1, 1992 to May 15, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts