V-Lab: Melrose Industries PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Melrose Industries PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:31.48% (+1.88%)

Analysis last updated: Saturday, May 4, 2024 at 04:31 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5477	2.85
$α$	0.0657	3.87
$β$	0.9043	38.76
$γ_{1}$	-0.0504	-2.59
$γ_{2}$	0.0710	2.62
$γ_{3}$	-0.0275	-2.21

Estimation Period:
Oct 27, 2003 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts