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

V-Lab

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V-Lab

Murray International Trust PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:16.10% (-0.82%)

Analysis last updated: Sunday, November 10, 2024 at 04:22 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0411	7.67
$α$	0.1130	10.33
$β$	0.8458	62.82
$γ_{1}$	0.0106	3.22
$γ_{2}$	-0.0183	-3.70
$γ_{3}$	0.0141	3.21

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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