V-Lab: Koninklijke Philips NV Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Koninklijke Philips NV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:84.28% (-4.62%)

Analysis last updated: Saturday, May 4, 2024 at 10:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8805	3.26
$α$	0.0586	6.06
$β$	0.8814	36.73
$γ_{1}$	-0.0888	-0.73
$γ_{2}$	0.1682	1.00
$γ_{3}$	-0.0815	-1.21
$γ_{4}$	-0.1386	-3.50
$γ_{5}$	0.3118	8.68
$γ_{6}$	-0.2687	-6.99
$γ_{7}$	0.1155	2.69
$γ_{8}$	-0.0100	-0.21
$γ_{9}$	0.0523	0.93
$γ_{10}$	-0.1156	-2.26

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts