V-Lab: Mercantile Investment Trust PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Mercantile Investment Trust PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:22.92% (-0.97%)

Analysis last updated: Sunday, November 10, 2024 at 04:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8606	5.50
$α$	0.1476	9.72
$β$	0.7948	44.54
$γ_{1}$	-0.0446	-1.16
$γ_{2}$	0.1078	1.97
$γ_{3}$	-0.1051	-3.40
$γ_{4}$	0.0842	3.03
$γ_{5}$	-0.1120	-3.72
$γ_{6}$	0.1056	3.06
$γ_{7}$	-0.0073	-0.25
$γ_{8}$	-0.0561	-3.43

Estimation Period:
Jan 2, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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