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

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V-Lab

Avi Global Trust PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:11.40% (+0.44%)

Analysis last updated: Saturday, September 21, 2024 at 12:28 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9629	6.46
$α$	0.1207	9.28
$β$	0.8069	45.56
$γ_{1}$	-0.0444	-1.04
$γ_{2}$	0.1105	1.67
$γ_{3}$	-0.1501	-2.78
$γ_{4}$	0.2073	4.20
$γ_{5}$	-0.2108	-5.49
$γ_{6}$	0.0671	2.05
$γ_{7}$	0.0604	1.98
$γ_{8}$	-0.0105	-0.33
$γ_{9}$	-0.1360	-2.46

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts