V-Lab: Rolls-Royce Holdings PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Rolls-Royce Holdings PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 16th, 2024:42.99% (-0.59%)

Analysis last updated: Wednesday, April 17, 2024 at 01:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7330	6.89
$α$	0.0858	7.09
$β$	0.8452	36.85
$γ_{1}$	-0.0528	-1.10
$γ_{2}$	0.0890	1.23
$γ_{3}$	-0.0223	-0.42
$γ_{4}$	-0.1196	-2.23
$γ_{5}$	0.2269	3.80
$γ_{6}$	-0.2158	-3.36
$γ_{7}$	0.1914	2.93
$γ_{8}$	-0.1767	-2.34
$γ_{9}$	0.1573	2.08
$γ_{10}$	-0.1242	-2.53

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts