V-Lab: M2 Group Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

M2 Group Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, February 9th, 2016:30.77% (-0.41%)

Analysis last updated: Friday, April 29, 2016 at 06:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3923	5.62
$α$	0.1539	4.18
$β$	0.5268	3.56
$γ_{1}$	-0.2905	-1.15
$γ_{2}$	0.7140	1.90
$γ_{3}$	-0.9664	-3.14
$γ_{4}$	0.7919	2.42
$γ_{5}$	-0.1518	-0.53
$γ_{6}$	-0.1041	-0.36
$γ_{7}$	0.0334	0.07

Estimation Period:
Oct 29, 2004 to Feb 5, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts