V-Lab: Melrose Industries PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Melrose Industries PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:29.38% (-0.08%)

Analysis last updated: Saturday, April 20, 2024 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5467	2.85
$α$	0.0656	3.86
$β$	0.9042	38.63
$γ_{1}$	-0.0506	-2.59
$γ_{2}$	0.0714	2.62
$γ_{3}$	-0.0278	-2.22

Estimation Period:
Oct 27, 2003 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts