V-Lab: Caledonia Investments PLC/fund Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Caledonia Investments PLC/fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:19.31% (-0.79%)

Analysis last updated: Saturday, September 21, 2024 at 12:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5767	3.66
$α$	0.1412	8.22
$β$	0.7684	26.85
$γ_{1}$	-0.1247	-1.37
$γ_{2}$	0.2384	1.89
$γ_{3}$	-0.1739	-1.80
$γ_{4}$	0.0022	0.02
$γ_{5}$	0.1932	2.83
$γ_{6}$	-0.2754	-5.20
$γ_{7}$	0.2055	3.76
$γ_{8}$	-0.0780	-1.47
$γ_{9}$	0.0577	1.32
$γ_{10}$	-0.0821	-2.88

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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