V-Lab: Ibstock PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Ibstock PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:23.99% (-0.49%)

Analysis last updated: Wednesday, May 1, 2024 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6151	2.51
$α$	0.0845	3.76
$β$	0.7975	14.42
$γ_{1}$	-3.3078	-1.86
$γ_{2}$	5.4748	2.06
$γ_{3}$	-3.6661	-2.16
$γ_{4}$	2.9766	2.22
$γ_{5}$	-2.9916	-3.43
$γ_{6}$	2.5774	4.02
$γ_{7}$	-1.7893	-2.98
$γ_{8}$	1.0634	2.18

Estimation Period:
Oct 21, 2015 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts