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

V-Lab

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V-Lab

IMI PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:22.19% (-0.28%)

Analysis last updated: Friday, May 3, 2024 at 03:25 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8107	6.57
$α$	0.0482	6.97
$β$	0.9196	77.47
$γ_{1}$	-0.0291	-0.90
$γ_{2}$	0.1233	2.54
$γ_{3}$	-0.2478	-7.53
$γ_{4}$	0.3041	9.86
$γ_{5}$	-0.2628	-8.07
$γ_{6}$	0.1744	5.57
$γ_{7}$	-0.0831	-2.97
$γ_{8}$	0.0246	1.16

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts