V-Lab: GKN PLC Spline-GARCH Volatility Analysis

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V-Lab

GKN PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 21st, 2018:37.26% (-0.13%)

Analysis last updated: Friday, May 18, 2018 at 04:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0376	5.88
$α$	0.0442	7.18
$β$	0.9389	111.27
$γ_{1}$	0.0494	1.58
$γ_{2}$	-0.0258	-0.52
$γ_{3}$	-0.0793	-2.09
$γ_{4}$	0.1148	3.04
$γ_{5}$	-0.1405	-3.50
$γ_{6}$	0.2262	2.69

Estimation Period:
Jan 1, 1990 to May 18, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts