V-Lab: Scottish Mortgage Investment Trust PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Scottish Mortgage Investment Trust PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 20th, 2024:29.06% (+2.79%)

Analysis last updated: Saturday, September 21, 2024 at 12:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8947	6.16
$α$	0.0999	10.49
$β$	0.8604	67.71
$γ_{1}$	-0.0306	-0.85
$γ_{2}$	0.1011	1.92
$γ_{3}$	-0.1438	-4.44
$γ_{4}$	0.1423	4.86
$γ_{5}$	-0.1283	-4.23
$γ_{6}$	0.0920	2.75
$γ_{7}$	-0.0273	-0.91
$γ_{8}$	-0.0215	-1.14

Estimation Period:
Jan 2, 1990 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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