V-Lab: Navitas Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Navitas Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, June 25th, 2019:7.48% (-0.06%)

Analysis last updated: Monday, June 24, 2019 at 07:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1927	6.57
$α$	0.1279	4.29
$β$	0.4834	4.85
$γ_{1}$	0.1203	0.44
$γ_{2}$	-0.1466	-0.33
$γ_{3}$	-0.0072	-0.02
$γ_{4}$	0.1232	0.55
$γ_{5}$	-0.2131	-0.79
$γ_{6}$	0.2538	0.79
$γ_{7}$	-0.3763	-1.06
$γ_{8}$	0.8068	1.60
$γ_{9}$	-2.1608	-3.66

Estimation Period:
Dec 15, 2004 to Jun 21, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts