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 Friday, April 19th, 2024:21.35% (-0.73%)

Analysis last updated: Friday, April 19, 2024 at 07:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9010	4.74
$α$	0.0799	6.47
$β$	0.8675	50.93
$γ_{1}$	-0.1237	-2.54
$γ_{2}$	0.2935	4.42
$γ_{3}$	-0.3419	-7.84
$γ_{4}$	0.2704	5.37
$γ_{5}$	-0.1169	-1.82
$γ_{6}$	-0.0094	-0.15
$γ_{7}$	0.0631	1.28
$γ_{8}$	-0.0603	-1.52
$γ_{9}$	0.0363	1.46

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts