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

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V-Lab

Meggitt PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, September 14th, 2022:4.29% (-0.06%)

Analysis last updated: Wednesday, September 14, 2022 at 01:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1459	3.81
$α$	0.1039	5.40
$β$	0.8622	31.42
$γ_{1}$	-0.0083	-0.14
$γ_{2}$	0.0435	0.50
$γ_{3}$	-0.1048	-1.58
$γ_{4}$	0.1452	2.45
$γ_{5}$	-0.1352	-2.45
$γ_{6}$	0.1242	2.12
$γ_{7}$	-0.1948	-3.31
$γ_{8}$	0.2219	5.31

Estimation Period:
Jan 1, 1990 to Sep 9, 2022

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Volatility Forecasts

Volatility Forecasts