V-Lab: Valaris Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Valaris Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:29.91% (0.00%)

Analysis last updated: Friday, April 26, 2024 at 10:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0520	3.74
$α$	0.0000	0.00
$β$	0.9678	17.32
$γ_{1}$	0.4580	0.80
$γ_{2}$	-1.3151	-1.82
$γ_{3}$	1.4305	4.54

Estimation Period:
Apr 30, 2021 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts