V-Lab: Ithaca Energy E&P Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Ithaca Energy E&P Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 8th, 2017:52.78% (-1.33%)

Analysis last updated: Wednesday, June 7, 2017 at 08:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3421	5.65
$α$	0.0779	2.95
$β$	0.8525	17.24
$γ_{1}$	1.4836	2.26
$γ_{2}$	-1.9948	-1.83
$γ_{3}$	0.0068	0.01
$γ_{4}$	1.2723	1.95
$γ_{5}$	-1.2918	-1.82
$γ_{6}$	0.5890	0.90
$γ_{7}$	0.7891	1.66
$γ_{8}$	-1.8947	-2.45
$γ_{9}$	1.3999	1.57

Estimation Period:
Jun 5, 2006 to Jun 2, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts