V-Lab: Virtus Health Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Virtus Health Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 8th, 2022:28.41% (-0.25%)

Analysis last updated: Saturday, August 6, 2022 at 06:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7787	3.26
$α$	0.2110	2.68
$β$	0.3042	2.15
$γ_{1}$	-0.4027	-0.28
$γ_{2}$	1.3178	0.69
$γ_{3}$	-2.0408	-1.44
$γ_{4}$	1.6536	0.97
$γ_{5}$	-1.0332	-0.95
$γ_{6}$	0.7817	0.70
$γ_{7}$	1.4546	1.40
$γ_{8}$	-4.4802	-4.79
$γ_{9}$	4.0375	4.67
$γ_{10}$	-1.4107	-2.42

Estimation Period:
Jun 11, 2013 to Aug 5, 2022

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts