V-Lab: TUI Travel Ltd Spline-GARCH Volatility Analysis

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V-Lab

TUI Travel Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 12th, 2014:21.42% (-2.04%)

Analysis last updated: Friday, January 29, 2016 at 03:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8775	4.85
$α$	0.1260	5.32
$β$	0.6669	12.31
$γ_{1}$	0.0863	0.52
$γ_{2}$	-0.2747	-0.86
$γ_{3}$	0.3567	1.16
$γ_{4}$	-0.2611	-1.04
$γ_{5}$	0.0890	0.58
$γ_{6}$	-0.0068	-0.06
$γ_{7}$	0.1909	1.78
$γ_{8}$	-0.4262	-4.57
$γ_{9}$	0.3619	3.45
$γ_{10}$	-0.2232	-1.49

Estimation Period:
Jan 1, 1990 to Dec 5, 2014

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts