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 Tuesday, November 12th, 2024:17.41% (+1.68%)

Analysis last updated: Tuesday, November 12, 2024 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8210	3.91
$α$	0.1228	9.78
$β$	0.8050	43.69
$γ_{1}$	-0.1142	-1.82
$γ_{2}$	0.1974	2.37
$γ_{3}$	-0.1348	-2.97
$γ_{4}$	0.1314	2.88
$γ_{5}$	-0.1564	-3.88
$γ_{6}$	0.0671	2.06
$γ_{7}$	0.0348	1.16
$γ_{8}$	0.0060	0.21
$γ_{9}$	-0.0589	-2.94

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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