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

V-Lab

| |

V-Lab

Mercantile Investment Trust PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:19.46% (-0.50%)

Analysis last updated: Tuesday, November 12, 2024 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8144	5.61
$α$	0.1473	9.45
$β$	0.7866	41.29
$γ_{1}$	-0.0531	-1.43
$γ_{2}$	0.1216	2.30
$γ_{3}$	-0.1144	-3.86
$γ_{4}$	0.0907	3.43
$γ_{5}$	-0.1142	-3.98
$γ_{6}$	0.0977	2.98
$γ_{7}$	0.0292	0.99
$γ_{8}$	-0.1737	-4.28

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other Mercantile Investment Trust PLC Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH