V-Lab: Shell PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Shell PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 31st, 2022:39.33% (-2.02%)

Analysis last updated: Saturday, January 29, 2022 at 06:10 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9366	7.10
$α$	0.0986	4.07
$β$	0.8171	23.50
$γ_{1}$	0.9019	4.68
$γ_{2}$	-1.6092	-4.58
$γ_{3}$	1.3274	2.87
$γ_{4}$	-1.0741	-1.83
$γ_{5}$	0.6976	1.81
$γ_{6}$	-0.5955	-2.92
$γ_{7}$	0.7068	2.29
$γ_{8}$	-0.3506	-1.46
$γ_{9}$	-0.1118	-0.87

Estimation Period:
Jul 20, 2005 to Jan 28, 2022

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Volatility Forecasts

Volatility Forecasts