V-Lab: Navitas Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Navitas Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 25th, 2019:23.13% (-0.02%)

Analysis last updated: Monday, June 24, 2019 at 07:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1190	8.61
$α$	0.1353	4.50
$β$	0.4684	4.86
$γ_{1}$	0.0052	0.26
$γ_{2}$	-0.0132	-0.43
$γ_{3}$	0.0155	0.87

Estimation Period:
Dec 15, 2004 to Jun 21, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts