V-Lab: Shire PLC Spline-GARCH Volatility Analysis

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V-Lab

Shire PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 8th, 2019:20.53% (-1.08%)

Analysis last updated: Monday, January 7, 2019 at 05:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9740	3.57
$α$	0.0937	4.47
$β$	0.8065	19.05
$γ_{1}$	0.1315	1.41
$γ_{2}$	-0.3004	-2.36
$γ_{3}$	0.2861	4.21
$γ_{4}$	-0.1963	-3.04
$γ_{5}$	0.1628	2.58
$γ_{6}$	-0.1263	-1.94
$γ_{7}$	-0.0102	-0.13

Estimation Period:
Feb 14, 1996 to Jan 4, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts