V-Lab: Petrofac Ltd Spline-GARCH Volatility Analysis

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V-Lab

Petrofac Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:109.83% (-2.44%)

Analysis last updated: Saturday, April 27, 2024 at 08:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8996	4.49
$α$	0.0800	4.32
$β$	0.8388	22.66
$γ_{1}$	0.3267	1.79
$γ_{2}$	-0.6338	-2.26
$γ_{3}$	0.4907	2.33
$γ_{4}$	-0.0659	-0.27
$γ_{5}$	-0.3842	-1.20
$γ_{6}$	0.4754	1.31
$γ_{7}$	-0.2117	-0.49
$γ_{8}$	-0.2341	-0.49
$γ_{9}$	0.7565	1.64

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts