V-Lab: CRH PLC MF2-GARCH Volatility Analysis

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V-Lab

CRH PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:21.79% (-0.38%)

Analysis last updated: Saturday, May 11, 2024 at 01:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0152	7.05
$β$	0.9002	229.29
$γ$	0.0973	24.67
$λ_{1}$	0.0105	5.97
$λ_{2}$	0.0205	5.44
$λ_{3}$	0.9769	232.65

Estimation Period:
Jul 9, 1999 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts