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

V-Lab

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V-Lab

Shire PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 8th, 2019:22.35% (-1.02%)

Analysis last updated: Monday, January 7, 2019 at 05:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9964	3.67
$α$	0.0966	4.34
$β$	0.7845	15.60
$γ_{1}$	0.1715	1.53
$γ_{2}$	-0.3242	-2.18
$γ_{3}$	0.1678	1.81
$γ_{4}$	0.0624	0.56
$γ_{5}$	-0.1877	-1.74
$γ_{6}$	0.2612	2.52
$γ_{7}$	-0.2801	-2.94
$γ_{8}$	0.1781	2.81

Estimation Period:
Feb 14, 1996 to Jan 4, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts