V-Lab: Johnson Matthey PLC Spline-GARCH Volatility Analysis

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V-Lab

Johnson Matthey PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.81% (+1.26%)

Analysis last updated: Saturday, April 20, 2024 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8601	4.92
$α$	0.0772	6.71
$β$	0.8477	37.95
$γ_{1}$	-0.0445	-0.85
$γ_{2}$	0.1631	2.07
$γ_{3}$	-0.1812	-2.80
$γ_{4}$	-0.0391	-0.61
$γ_{5}$	0.2865	5.78
$γ_{6}$	-0.3328	-8.01
$γ_{7}$	0.2088	4.48
$γ_{8}$	-0.0653	-1.25
$γ_{9}$	0.0507	0.73
$γ_{10}$	-0.2065	-1.42

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts