V-Lab: Ibstock PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Ibstock PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:24.56% (-0.15%)

Analysis last updated: Thursday, May 16, 2024 at 08:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6193	2.53
$α$	0.0846	3.77
$β$	0.7991	14.78
$γ_{1}$	-3.2544	-1.85
$γ_{2}$	5.3905	2.04
$γ_{3}$	-3.6095	-2.13
$γ_{4}$	2.9124	2.16
$γ_{5}$	-2.9086	-3.28
$γ_{6}$	2.4981	3.89
$γ_{7}$	-1.7364	-2.98
$γ_{8}$	1.0384	2.22

Estimation Period:
Oct 21, 2015 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts