V-Lab: Rolls-Royce Holdings PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Rolls-Royce Holdings PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:34.24% (-1.37%)

Analysis last updated: Wednesday, May 1, 2024 at 03:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6766	7.00
$α$	0.1029	7.38
$β$	0.7952	28.95
$γ_{1}$	-0.0826	-1.86
$γ_{2}$	0.1299	1.96
$γ_{3}$	-0.0336	-0.69
$γ_{4}$	-0.1250	-2.56
$γ_{5}$	0.2426	4.51
$γ_{6}$	-0.2407	-4.13
$γ_{7}$	0.2205	3.76
$γ_{8}$	-0.2118	-3.11
$γ_{9}$	0.2386	3.17
$γ_{10}$	-0.3769	-4.32

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts