V-Lab: Petrofac Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Petrofac Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:91.56% (-2.73%)

Analysis last updated: Saturday, April 27, 2024 at 08:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9112	4.29
$α$	0.0830	4.61
$β$	0.8447	26.16
$γ_{1}$	0.3133	1.62
$γ_{2}$	-0.6115	-2.05
$γ_{3}$	0.4796	2.12
$γ_{4}$	-0.0576	-0.22
$γ_{5}$	-0.4090	-1.23
$γ_{6}$	0.5269	1.43
$γ_{7}$	-0.3098	-0.74
$γ_{8}$	-0.0125	-0.03
$γ_{9}$	0.1223	0.45

Estimation Period:
Oct 3, 2005 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts