V-Lab: Aberforth Smaller Companies Trust PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Aberforth Smaller Companies Trust PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:18.87% (-1.25%)

Analysis last updated: Tuesday, November 12, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8154	5.56
$α$	0.1554	9.40
$β$	0.7410	32.31
$γ_{1}$	-0.0323	-0.60
$γ_{2}$	0.1063	1.33
$γ_{3}$	-0.1437	-2.68
$γ_{4}$	0.1533	3.32
$γ_{5}$	-0.1601	-3.95
$γ_{6}$	0.0868	2.25
$γ_{7}$	-0.0059	-0.14
$γ_{8}$	0.0139	0.33
$γ_{9}$	-0.0314	-1.16

Estimation Period:
Dec 7, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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