V-Lab: TUI Travel Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

TUI Travel Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 12th, 2014:24.90% (-1.74%)

Analysis last updated: Friday, January 29, 2016 at 02:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8210	4.66
$α$	0.1181	5.13
$β$	0.6930	13.20
$γ_{1}$	0.0421	0.25
$γ_{2}$	-0.2131	-0.65
$γ_{3}$	0.3281	1.04
$γ_{4}$	-0.2406	-0.95
$γ_{5}$	0.0703	0.45
$γ_{6}$	0.0130	0.12
$γ_{7}$	0.1666	1.54
$γ_{8}$	-0.3903	-4.34
$γ_{9}$	0.2945	3.48
$γ_{10}$	-0.0485	-0.73

Estimation Period:
Jan 1, 1990 to Dec 5, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts