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

V-Lab

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V-Lab

IMI PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:21.43% (-0.26%)

Analysis last updated: Saturday, May 4, 2024 at 08:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8125	6.57
$α$	0.0482	6.97
$β$	0.9199	77.84
$γ_{1}$	-0.0284	-0.88
$γ_{2}$	0.1220	2.51
$γ_{3}$	-0.2468	-7.50
$γ_{4}$	0.3037	9.86
$γ_{5}$	-0.2633	-8.09
$γ_{6}$	0.1759	5.61
$γ_{7}$	-0.0855	-3.05
$γ_{8}$	0.0267	1.26

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts