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

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V-Lab

Johnson Matthey PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:22.19% (-0.53%)

Analysis last updated: Thursday, May 9, 2024 at 08:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8627	4.92
$α$	0.0770	6.71
$β$	0.8483	38.14
$γ_{1}$	-0.0436	-0.84
$γ_{2}$	0.1621	2.06
$γ_{3}$	-0.1820	-2.83
$γ_{4}$	-0.0367	-0.58
$γ_{5}$	0.2840	5.75
$γ_{6}$	-0.3319	-8.02
$γ_{7}$	0.2097	4.51
$γ_{8}$	-0.0665	-1.28
$γ_{9}$	0.0513	0.74
$γ_{10}$	-0.2128	-1.48

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts