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

V-Lab

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V-Lab

Aberforth Smaller Companies Trust PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:17.97% (+2.66%)

Analysis last updated: Sunday, November 10, 2024 at 03:41 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7823	5.48
$α$	0.1559	9.43
$β$	0.7370	31.30
$γ_{1}$	-0.0478	-0.90
$γ_{2}$	0.1317	1.65
$γ_{3}$	-0.1625	-3.05
$γ_{4}$	0.1714	3.77
$γ_{5}$	-0.1784	-4.47
$γ_{6}$	0.1060	2.79
$γ_{7}$	-0.0315	-0.73
$γ_{8}$	0.0619	1.38
$γ_{9}$	-0.1531	-2.60

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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