V-Lab: Lancashire Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Lancashire Holdings Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:26.51% (-0.70%)

Analysis last updated: Thursday, May 16, 2024 at 08:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8781	11.48
$α$	0.1028	6.14
$β$	0.7805	22.76
$γ_{1}$	0.0067	2.02
$γ_{2}$	-0.0107	-2.55

Estimation Period:
Dec 12, 2005 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts