V-Lab: McMillan Shakespeare Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

McMillan Shakespeare Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:29.05% (+1.78%)

Analysis last updated: Saturday, April 27, 2024 at 07:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8690	7.77
$α$	0.1973	5.31
$β$	0.5296	8.27
$γ_{1}$	0.3043	4.15
$γ_{2}$	-0.4752	-4.17
$γ_{3}$	0.3046	4.33
$γ_{4}$	-0.2536	-4.27
$γ_{5}$	0.2448	3.11
$γ_{6}$	-0.2015	-2.40
$γ_{7}$	0.0957	1.51

Estimation Period:
Mar 15, 2004 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts