V-Lab: Rolls-Royce Holdings PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Rolls-Royce Holdings PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:46.77% (-0.70%)

Analysis last updated: Wednesday, May 1, 2024 at 03:30 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7344	6.89
$α$	0.0856	7.09
$β$	0.8458	37.00
$γ_{1}$	-0.0523	-1.09
$γ_{2}$	0.0886	1.22
$γ_{3}$	-0.0229	-0.43
$γ_{4}$	-0.1186	-2.22
$γ_{5}$	0.2260	3.80
$γ_{6}$	-0.2148	-3.36
$γ_{7}$	0.1899	2.91
$γ_{8}$	-0.1749	-2.31
$γ_{9}$	0.1549	2.05
$γ_{10}$	-0.1220	-2.49

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts