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 Monday, November 11th, 2024:23.79% (-0.68%)

Analysis last updated: Sunday, November 10, 2024 at 04:20 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8986	6.14
$α$	0.0997	10.51
$β$	0.8614	68.53
$γ_{1}$	-0.0293	-0.82
$γ_{2}$	0.0983	1.87
$γ_{3}$	-0.1408	-4.34
$γ_{4}$	0.1400	4.78
$γ_{5}$	-0.1279	-4.25
$γ_{6}$	0.0953	2.84
$γ_{7}$	-0.0348	-1.14
$γ_{8}$	-0.0139	-0.73

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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