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 Friday, April 19th, 2024:28.72% (-2.36%)

Analysis last updated: Friday, April 19, 2024 at 07:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8705	7.78
$α$	0.1978	5.32
$β$	0.5286	8.25
$γ_{1}$	0.3058	4.16
$γ_{2}$	-0.4775	-4.18
$γ_{3}$	0.3061	4.35
$γ_{4}$	-0.2546	-4.23
$γ_{5}$	0.2447	3.07
$γ_{6}$	-0.1995	-2.35
$γ_{7}$	0.0931	1.46

Estimation Period:
Mar 15, 2004 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts