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 Tuesday, November 12th, 2024:15.84% (+2.06%)

Analysis last updated: Tuesday, November 12, 2024 at 10:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9696	6.51
$α$	0.1204	9.30
$β$	0.8070	45.57
$γ_{1}$	-0.0413	-0.98
$γ_{2}$	0.1051	1.60
$γ_{3}$	-0.1457	-2.73
$γ_{4}$	0.2045	4.15
$γ_{5}$	-0.2127	-5.55
$γ_{6}$	0.0725	2.21
$γ_{7}$	0.0587	1.91
$γ_{8}$	-0.0163	-0.51
$γ_{9}$	-0.1261	-2.31

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts