V-Lab: Avi Global Trust PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Avi Global Trust PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:15.48% (-0.79%)

Analysis last updated: Sunday, November 10, 2024 at 03:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0143	6.51
$α$	0.1188	9.40
$β$	0.8149	47.81
$γ_{1}$	-0.0269	-0.61
$γ_{2}$	0.0812	1.19
$γ_{3}$	-0.1275	-2.29
$γ_{4}$	0.1871	3.65
$γ_{5}$	-0.1953	-4.93
$γ_{6}$	0.0549	1.62
$γ_{7}$	0.0817	2.62
$γ_{8}$	-0.0629	-2.28
$γ_{9}$	-0.0010	-0.05

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts