V-Lab: G4S PLC MF2-GARCH Volatility Analysis

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V-Lab

G4S PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 5th, 2021:21.77% (0.00%)

Analysis last updated: Wednesday, May 5, 2021 at 01:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	126
$α$	0.1170	12.94
$β$	0.5885	34.84
$γ$	0.1804	11.75
$λ_{1}$	0.1687	0.49
$λ_{2}$	0.0842	0.54
$λ_{3}$	0.8799	3.75

Estimation Period:
Jun 10, 1996 to Apr 30, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts