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

V-Lab

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V-Lab

Scottish Mortgage Investment Trust PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 11th, 2024:20.41% (-0.78%)

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
$ω$	0.8556	6.10
$α$	0.0989	10.29
$β$	0.8586	64.61
$γ_{1}$	-0.0389	-1.12
$γ_{2}$	0.1136	2.24
$γ_{3}$	-0.1506	-4.83
$γ_{4}$	0.1461	5.18
$γ_{5}$	-0.1280	-4.42
$γ_{6}$	0.0839	2.60
$γ_{7}$	0.0042	0.13
$γ_{8}$	-0.1251	-2.78

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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