V-Lab: Johnson Matthey PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Johnson Matthey PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:29.09% (-0.16%)

Analysis last updated: Friday, April 19, 2024 at 07:50 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9012	4.94
$α$	0.0719	6.80
$β$	0.8631	43.33
$γ_{1}$	-0.0259	-0.49
$γ_{2}$	0.1366	1.69
$γ_{3}$	-0.1731	-2.59
$γ_{4}$	-0.0323	-0.49
$γ_{5}$	0.2670	5.23
$γ_{6}$	-0.3034	-7.13
$γ_{7}$	0.1709	3.61
$γ_{8}$	-0.0134	-0.27
$γ_{9}$	-0.0375	-0.83
$γ_{10}$	-0.0001	-0.00

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts