V-Lab: Johnson Matthey PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Johnson Matthey PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:28.68% (-0.45%)

Analysis last updated: Friday, May 3, 2024 at 03:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9028	4.94
$α$	0.0718	6.82
$β$	0.8636	43.58
$γ_{1}$	-0.0254	-0.48
$γ_{2}$	0.1361	1.69
$γ_{3}$	-0.1742	-2.62
$γ_{4}$	-0.0296	-0.45
$γ_{5}$	0.2641	5.18
$γ_{6}$	-0.3019	-7.11
$γ_{7}$	0.1707	3.61
$γ_{8}$	-0.0124	-0.25
$γ_{9}$	-0.0411	-0.91
$γ_{10}$	0.0042	0.13

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts