V-Lab: Smiths Group PLC Spline-GARCH Volatility Analysis

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V-Lab

Smiths Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:14.11% (-0.55%)

Analysis last updated: Thursday, May 16, 2024 at 08:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8729	5.06
$α$	0.0831	6.32
$β$	0.8512	43.96
$γ_{1}$	-0.1340	-2.98
$γ_{2}$	0.3122	5.10
$γ_{3}$	-0.3585	-9.09
$γ_{4}$	0.2857	6.35
$γ_{5}$	-0.1298	-2.27
$γ_{6}$	0.0047	0.08
$γ_{7}$	0.0369	0.81
$γ_{8}$	0.0079	0.18
$γ_{9}$	-0.1666	-2.30

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts