V-Lab: Scottish Mortgage Investment Trust PLC MF2-GARCH Volatility Analysis

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V-Lab

Scottish Mortgage Investment Trust PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:18.39% (-0.15%)

Analysis last updated: Sunday, November 10, 2024 at 04:21 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0261	10.89
$β$	0.8458	182.25
$γ$	0.1266	32.93
$λ_{1}$	0.0044	5.70
$λ_{2}$	0.0288	6.72
$λ_{3}$	0.9690	211.24

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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