V-Lab: Smiths Group PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Smiths Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.61% (-0.82%)

Analysis last updated: Saturday, April 20, 2024 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9201	4.87
$α$	0.0800	6.48
$β$	0.8675	51.04
$γ_{1}$	-0.1200	-2.50
$γ_{2}$	0.2892	4.40
$γ_{3}$	-0.3412	-7.82
$γ_{4}$	0.2708	5.37
$γ_{5}$	-0.1177	-1.83
$γ_{6}$	-0.0087	-0.14
$γ_{7}$	0.0624	1.26
$γ_{8}$	-0.0598	-1.51
$γ_{9}$	0.0359	1.45

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts