V-Lab: City of London Investment Trust PLC/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

City of London Investment Trust PLC/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:11.81% (+0.16%)

Analysis last updated: Sunday, November 10, 2024 at 04:05 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2965	4.21
$α$	0.1139	8.98
$β$	0.8581	65.46
$γ_{1}$	0.0159	1.20
$γ_{2}$	0.0012	0.06
$γ_{3}$	-0.0480	-3.06
$γ_{4}$	0.0502	4.08
$γ_{5}$	-0.0233	-3.03

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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MF2-GARCH