V-Lab: Slater & Gordon Ltd Spline-GARCH Volatility Analysis

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V-Lab

Slater & Gordon Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 3rd, 2023:17.23% (-0.03%)

Analysis last updated: Wednesday, May 3, 2023 at 11:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6615	2.38
$α$	0.2270	5.52
$β$	0.6738	12.71
$γ_{1}$	-0.2152	-0.65
$γ_{2}$	0.4028	0.90
$γ_{3}$	-0.3964	-1.62
$γ_{4}$	0.6746	3.18
$γ_{5}$	-0.9133	-4.08
$γ_{6}$	0.4219	1.67
$γ_{7}$	0.2980	0.96
$γ_{8}$	-0.8410	-2.12

Estimation Period:
May 21, 2007 to Apr 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts