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

V-Lab

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V-Lab

RIT Capital Partners PLC/Fund Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:11.80% (-0.56%)

Analysis last updated: Sunday, November 10, 2024 at 04:00 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7809	3.95
$α$	0.1232	9.74
$β$	0.7964	40.65
$γ_{1}$	-0.1280	-2.10
$γ_{2}$	0.2221	2.75
$γ_{3}$	-0.1571	-3.61
$γ_{4}$	0.1531	3.51
$γ_{5}$	-0.1763	-4.56
$γ_{6}$	0.0872	2.81
$γ_{7}$	0.0054	0.18
$γ_{8}$	0.0701	2.07
$γ_{9}$	-0.2282	-3.80

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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