V-Lab: Lancashire Holdings Ltd GJR-GARCH Volatility Analysis

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V-Lab

Lancashire Holdings Ltd GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:23.26% (-0.34%)

Analysis last updated: Thursday, May 16, 2024 at 08:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1855	18.72
$α$	0.0520	12.06
$β$	0.8307	141.78
$γ$	0.0836	7.65

Estimation Period:
Dec 12, 2005 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts