V-Lab: CRH PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CRH PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:20.84% (-0.33%)

Analysis last updated: Thursday, May 9, 2024 at 08:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0427	4.42
$α$	0.0693	6.84
$β$	0.8971	61.97
$γ_{1}$	-0.1034	-1.91
$γ_{2}$	0.2375	3.23
$γ_{3}$	-0.2430	-6.50
$γ_{4}$	0.1353	3.88
$γ_{5}$	0.0000	0.00
$γ_{6}$	-0.0655	-1.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts