V-Lab: Virtus Health Ltd MF2-GARCH Volatility Analysis

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V-Lab

Virtus Health Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, August 8th, 2022:32.14% (-0.62%)

Analysis last updated: Saturday, August 6, 2022 at 06:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.1102	9.03
$β$	0.1706	4.30
$γ$	0.5000	16.81
$λ_{1}$	0.4801	0.81
$λ_{2}$	0.1881	0.91
$λ_{3}$	0.7441	2.62

Estimation Period:
Jun 11, 2013 to Aug 5, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts