V-Lab: FBN Holdings Plc MF2-GARCH Volatility Analysis

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V-Lab

FBN Holdings Plc MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:72.17% (-15.24%)

Analysis last updated: Saturday, May 11, 2024 at 03:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.2449	29.20
$β$	0.5453	20.11
$γ$	0.0083	0.62
$λ_{1}$	1.2968	0.81
$λ_{2}$	0.2292	0.72
$λ_{3}$	0.6133	1.17

Estimation Period:
Sep 8, 2009 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts