V-Lab: AWE Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

AWE Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 3rd, 2018:18.00% (-0.12%)

Analysis last updated: Wednesday, May 2, 2018 at 07:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1800	6.10
$α$	0.0454	2.86
$β$	0.9140	22.25
$γ_{1}$	-0.1340	-1.39
$γ_{2}$	0.1400	0.95
$γ_{3}$	0.0456	0.47
$γ_{4}$	0.0038	0.04
$γ_{5}$	-0.1576	-1.82
$γ_{6}$	0.1467	1.46
$γ_{7}$	0.0545	0.46
$γ_{8}$	-0.5010	-2.46

Estimation Period:
Jul 2, 1997 to Apr 27, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts