V-Lab: AFI Development PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AFI Development PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, February 21st, 2020:193.62% (+144.74%)

Analysis last updated: Thursday, February 20, 2020 at 08:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7899	3.26
$α$	0.1406	5.06
$β$	0.8219	23.20
$γ_{1}$	0.7679	1.88
$γ_{2}$	-1.6777	-2.99
$γ_{3}$	1.4467	4.08
$γ_{4}$	-0.7107	-1.63
$γ_{5}$	0.8357	1.63
$γ_{6}$	-1.6852	-3.88
$γ_{7}$	1.5805	3.72
$γ_{8}$	-0.6693	-1.86

Estimation Period:
May 3, 2007 to Feb 14, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts