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 Monday, April 22nd, 2024:29.65% (+0.81%)

Analysis last updated: Saturday, April 20, 2024 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8899	4.88
$α$	0.0722	6.82
$β$	0.8629	43.42
$γ_{1}$	-0.0301	-0.56
$γ_{2}$	0.1423	1.76
$γ_{3}$	-0.1758	-2.63
$γ_{4}$	-0.0304	-0.46
$γ_{5}$	0.2657	5.20
$γ_{6}$	-0.3025	-7.10
$γ_{7}$	0.1705	3.60
$γ_{8}$	-0.0132	-0.26
$γ_{9}$	-0.0382	-0.85
$γ_{10}$	0.0010	0.03

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

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Volatility Forecasts

Volatility Forecasts