V-Lab: IMI PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

IMI PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:24.80% (-0.40%)

Analysis last updated: Saturday, April 20, 2024 at 09:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8104	6.59
$α$	0.0484	6.97
$β$	0.9191	76.99
$γ_{1}$	-0.0292	-0.90
$γ_{2}$	0.1233	2.55
$γ_{3}$	-0.2478	-7.55
$γ_{4}$	0.3040	9.88
$γ_{5}$	-0.2626	-8.08
$γ_{6}$	0.1740	5.57
$γ_{7}$	-0.0822	-2.93
$γ_{8}$	0.0235	1.11

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts