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

V-Lab

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V-Lab

McMillan Shakespeare Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:34.85% (+1.50%)

Analysis last updated: Saturday, April 27, 2024 at 07:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8813	7.93
$α$	0.1993	5.45
$β$	0.5127	7.95
$γ_{1}$	0.3115	4.31
$γ_{2}$	-0.4876	-4.34
$γ_{3}$	0.3164	4.54
$γ_{4}$	-0.2710	-4.54
$γ_{5}$	0.2788	3.44
$γ_{6}$	-0.2761	-2.95
$γ_{7}$	0.2735	2.09

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts