V-Lab: ARM Holdings PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

ARM Holdings PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 5th, 2016:32.39% (-0.36%)

Analysis last updated: Friday, September 2, 2016 at 04:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0687	5.85
$α$	0.0564	5.49
$β$	0.8789	28.34
$γ_{1}$	-0.0752	-0.63
$γ_{2}$	-0.0551	-0.30
$γ_{3}$	0.1212	0.87
$γ_{4}$	0.2602	1.88
$γ_{5}$	-0.4578	-2.96
$γ_{6}$	0.2373	1.35
$γ_{7}$	0.0520	0.25
$γ_{8}$	-0.1290	-0.66

Estimation Period:
Apr 23, 1998 to Sep 2, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts