V-Lab: Rowan Cos Plc Spline-GARCH Volatility Analysis

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V-Lab

Rowan Cos Plc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 11th, 2019:46.94% (-0.75%)

Analysis last updated: Wednesday, April 10, 2019 at 09:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0461	5.89
$α$	0.0380	8.18
$β$	0.9571	179.57
$γ_{1}$	-0.0052	-0.74
$γ_{2}$	0.0022	0.20
$γ_{3}$	0.0224	1.73

Estimation Period:
Jan 1, 1990 to Apr 5, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts