V-Lab: Ashtead Group PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Ashtead Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:37.82% (-1.17%)

Analysis last updated: Saturday, May 4, 2024 at 08:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4518	4.98
$α$	0.0880	6.51
$β$	0.8422	32.56
$γ_{1}$	-0.2475	-2.88
$γ_{2}$	0.4412	3.45
$γ_{3}$	-0.2298	-2.68
$γ_{4}$	-0.0743	-0.99
$γ_{5}$	0.2022	3.35
$γ_{6}$	-0.1467	-2.44
$γ_{7}$	0.0579	0.99
$γ_{8}$	0.0120	0.22
$γ_{9}$	-0.0140	-0.26
$γ_{10}$	0.0443	0.56

Estimation Period:
Jan 1, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts