V-Lab: IMI PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

IMI PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:18.97% (-0.32%)

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
$ω$	0.7857	6.46
$α$	0.0484	7.03
$β$	0.9176	74.62
$γ_{1}$	-0.0390	-1.21
$γ_{2}$	0.1390	2.90
$γ_{3}$	-0.2581	-8.01
$γ_{4}$	0.3111	10.33
$γ_{5}$	-0.2648	-8.26
$γ_{6}$	0.1669	5.21
$γ_{7}$	-0.0560	-1.55
$γ_{8}$	-0.0521	-0.89

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts