V-Lab: RIT Capital Partners PLC/Fund Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

RIT Capital Partners PLC/Fund Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:18.30% (+1.44%)

Analysis last updated: Saturday, September 21, 2024 at 12:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8149	3.88
$α$	0.1227	9.76
$β$	0.8050	43.60
$γ_{1}$	-0.1171	-1.84
$γ_{2}$	0.2019	2.39
$γ_{3}$	-0.1380	-3.00
$γ_{4}$	0.1339	2.91
$γ_{5}$	-0.1558	-3.87
$γ_{6}$	0.0640	1.99
$γ_{7}$	0.0335	1.12
$γ_{8}$	0.0140	0.49
$γ_{9}$	-0.0663	-3.28

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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