V-Lab: Ashtead Group PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Ashtead Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:40.86% (+10.03%)

Analysis last updated: Saturday, April 27, 2024 at 08:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4524	4.99
$α$	0.0884	6.50
$β$	0.8414	32.37
$γ_{1}$	-0.2468	-2.87
$γ_{2}$	0.4404	3.45
$γ_{3}$	-0.2294	-2.68
$γ_{4}$	-0.0746	-0.99
$γ_{5}$	0.2023	3.36
$γ_{6}$	-0.1467	-2.44
$γ_{7}$	0.0578	0.99
$γ_{8}$	0.0123	0.22
$γ_{9}$	-0.0149	-0.27
$γ_{10}$	0.0471	0.59

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts