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

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V-Lab

Koninklijke Philips NV Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:85.67% (-4.29%)

Analysis last updated: Saturday, May 4, 2024 at 10:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8462	3.17
$α$	0.0565	6.20
$β$	0.8870	43.64
$γ_{1}$	-0.1060	-0.88
$γ_{2}$	0.1933	1.17
$γ_{3}$	-0.0905	-1.35
$γ_{4}$	-0.1425	-3.57
$γ_{5}$	0.3250	8.89
$γ_{6}$	-0.2839	-7.23
$γ_{7}$	0.1259	2.82
$γ_{8}$	-0.0096	-0.18
$γ_{9}$	0.0330	0.40
$γ_{10}$	-0.0578	-0.30

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts