V-Lab: Smiths Group PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Smiths Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:19.60% (-0.75%)

Analysis last updated: Thursday, May 2, 2024 at 02:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9209	4.88
$α$	0.0801	6.49
$β$	0.8675	51.02
$γ_{1}$	-0.1193	-2.49
$γ_{2}$	0.2880	4.39
$γ_{3}$	-0.3407	-7.85
$γ_{4}$	0.2716	5.42
$γ_{5}$	-0.1194	-1.86
$γ_{6}$	-0.0069	-0.11
$γ_{7}$	0.0616	1.24
$γ_{8}$	-0.0600	-1.51
$γ_{9}$	0.0364	1.47

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts