V-Lab: Ibstock PLC Spline-GARCH Volatility Analysis

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V-Lab

Ibstock PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:25.41% (-0.17%)

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
$ω$	0.6140	2.53
$α$	0.0841	3.74
$β$	0.7975	14.24
$γ_{1}$	-3.2949	-1.89
$γ_{2}$	5.4549	2.08
$γ_{3}$	-3.6543	-2.18
$γ_{4}$	2.9682	2.22
$γ_{5}$	-3.0096	-3.41
$γ_{6}$	2.6898	4.05
$γ_{7}$	-2.1345	-2.93
$γ_{8}$	2.0402	1.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts