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

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V-Lab

Virtus Health Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 8th, 2022:15.46% (-0.59%)

Analysis last updated: Saturday, August 6, 2022 at 06:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7670	3.28
$α$	0.1809	3.78
$β$	0.3705	2.41
$γ_{1}$	-0.4295	-0.31
$γ_{2}$	1.3602	0.71
$γ_{3}$	-2.0698	-1.45
$γ_{4}$	1.6899	0.99
$γ_{5}$	-1.0805	-0.99
$γ_{6}$	0.7765	0.69
$γ_{7}$	1.6223	1.52
$γ_{8}$	-4.9756	-4.91
$γ_{9}$	5.2777	3.80
$γ_{10}$	-4.8640	-1.61

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts