V-Lab: Petrofac Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Petrofac Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:169.12% (-9.29%)

Analysis last updated: Saturday, May 11, 2024 at 01:11 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8795	4.41
$α$	0.0780	4.22
$β$	0.8434	23.58
$γ_{1}$	0.3291	1.79
$γ_{2}$	-0.6368	-2.26
$γ_{3}$	0.4945	2.34
$γ_{4}$	-0.0738	-0.30
$γ_{5}$	-0.3768	-1.18
$γ_{6}$	0.4721	1.30
$γ_{7}$	-0.2045	-0.47
$γ_{8}$	-0.2784	-0.58
$γ_{9}$	1.0018	1.99

Estimation Period:
Oct 3, 2005 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts