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

V-Lab

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V-Lab

Petrofac Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:139.19% (-3.62%)

Analysis last updated: Thursday, April 18, 2024 at 06:59 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9038	4.18
$α$	0.0830	4.56
$β$	0.8455	26.40
$γ_{1}$	0.3073	1.56
$γ_{2}$	-0.6054	-2.00
$γ_{3}$	0.4775	2.10
$γ_{4}$	-0.0508	-0.20
$γ_{5}$	-0.4179	-1.25
$γ_{6}$	0.5311	1.42
$γ_{7}$	-0.3067	-0.72
$γ_{8}$	-0.0184	-0.04
$γ_{9}$	0.1253	0.46

Estimation Period:
Oct 3, 2005 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts