V-Lab: Laird PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Laird PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 2nd, 2018:34.54% (0.00%)

Analysis last updated: Friday, June 29, 2018 at 04:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4880	6.90
$α$	0.1972	5.87
$β$	0.3676	5.51
$γ_{1}$	-0.1673	-2.92
$γ_{2}$	0.3187	3.27
$γ_{3}$	-0.1658	-1.73
$γ_{4}$	-0.1421	-1.50
$γ_{5}$	0.2832	3.88
$γ_{6}$	-0.0745	-1.30
$γ_{7}$	-0.2538	-3.82
$γ_{8}$	0.4098	4.47
$γ_{9}$	-0.3649	-1.73

Estimation Period:
Jan 2, 1990 to Jun 29, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts