V-Lab: Murray International Trust PLC MF2-GARCH Volatility Analysis

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V-Lab

Murray International Trust PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:15.38% (-0.73%)

Analysis last updated: Sunday, November 10, 2024 at 04:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	111
$α$	0.0441	15.44
$β$	0.8529	254.13
$γ$	0.1128	26.58
$λ_{1}$	0.0051	8.33
$λ_{2}$	0.0160	10.90
$λ_{3}$	0.9797	509.49

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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