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

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V-Lab

ARM Holdings PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 5th, 2016:46.61% (-0.27%)

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
$ω$	1.0443	6.14
$α$	0.0596	6.29
$β$	0.8738	34.36
$γ_{1}$	-0.1101	-1.95
$γ_{2}$	0.0251	0.30
$γ_{3}$	0.2575	4.09
$γ_{4}$	-0.2734	-3.96
$γ_{5}$	0.0900	1.01
$γ_{6}$	0.2172	0.98

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts