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

V-Lab

| |

V-Lab

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

Volatility Prediction for Friday, September 20th, 2024:16.18% (-0.08%)

Analysis last updated: Saturday, September 21, 2024 at 12:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8149	5.55
$α$	0.1559	9.42
$β$	0.7407	32.32
$γ_{1}$	-0.0341	-0.63
$γ_{2}$	0.1097	1.36
$γ_{3}$	-0.1459	-2.69
$γ_{4}$	0.1532	3.27
$γ_{5}$	-0.1561	-3.80
$γ_{6}$	0.0810	2.06
$γ_{7}$	-0.0043	-0.10
$γ_{8}$	0.0178	0.43
$γ_{9}$	-0.0353	-1.35

Estimation Period:
Dec 7, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Aberforth Smaller Companies Trust PLC Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH