V-Lab: McMillan Shakespeare Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

McMillan Shakespeare Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.69% (-1.12%)

Analysis last updated: Saturday, April 20, 2024 at 08:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8729	7.78
$α$	0.1977	5.32
$β$	0.5291	8.26
$γ_{1}$	0.3062	4.17
$γ_{2}$	-0.4781	-4.19
$γ_{3}$	0.3064	4.35
$γ_{4}$	-0.2550	-4.23
$γ_{5}$	0.2452	3.07
$γ_{6}$	-0.2002	-2.36
$γ_{7}$	0.0938	1.48

Estimation Period:
Mar 15, 2004 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts