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

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V-Lab

Smiths Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:15.48% (-0.92%)

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
$ω$	0.8718	5.06
$α$	0.0833	6.32
$β$	0.8504	43.64
$γ_{1}$	-0.1346	-2.99
$γ_{2}$	0.3134	5.12
$γ_{3}$	-0.3590	-9.08
$γ_{4}$	0.2849	6.31
$γ_{5}$	-0.1279	-2.23
$γ_{6}$	0.0029	0.05
$γ_{7}$	0.0374	0.82
$γ_{8}$	0.0092	0.21
$γ_{9}$	-0.1687	-2.33

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts