V-Lab: Li & Fung Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Li & Fung Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 18th, 2020:51.66% (-1.22%)

Analysis last updated: Friday, May 15, 2020 at 03:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0339	6.17
$α$	0.1340	7.36
$β$	0.6166	12.28
$γ_{1}$	-0.0036	-0.06
$γ_{2}$	0.1270	1.62
$γ_{3}$	-0.2880	-5.40
$γ_{4}$	0.2313	4.05
$γ_{5}$	-0.0008	-0.02
$γ_{6}$	-0.1746	-3.18
$γ_{7}$	0.1333	1.79
$γ_{8}$	0.0335	0.39
$γ_{9}$	-0.0326	-0.21

Estimation Period:
Jul 1, 1992 to May 15, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts