V-Lab: Rexam PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Rexam PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, June 30th, 2016:10.51% (+0.62%)

Analysis last updated: Wednesday, June 29, 2016 at 04:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1451	6.48
$α$	0.0823	5.42
$β$	0.8459	32.67
$γ_{1}$	0.3021	3.64
$γ_{2}$	-0.3857	-2.99
$γ_{3}$	0.1282	1.30
$γ_{4}$	-0.0787	-0.71
$γ_{5}$	-0.1236	-1.27
$γ_{6}$	0.3832	4.63
$γ_{7}$	-0.2672	-2.89
$γ_{8}$	-0.0871	-0.80
$γ_{9}$	0.2561	1.72
$γ_{10}$	-0.3710	-1.75

Estimation Period:
Jan 1, 1990 to Jun 24, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts