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

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V-Lab

Burberry Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:31.32% (-0.92%)

Analysis last updated: Saturday, April 20, 2024 at 09:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5310	6.26
$α$	0.1069	5.94
$β$	0.7716	20.03
$γ_{1}$	-0.0547	-0.42
$γ_{2}$	0.4690	2.31
$γ_{3}$	-0.7783	-5.05
$γ_{4}$	0.5826	3.89
$γ_{5}$	-0.5007	-2.71
$γ_{6}$	0.5538	3.30
$γ_{7}$	-0.3697	-2.85
$γ_{8}$	0.1645	1.13
$γ_{9}$	-0.2044	-1.36
$γ_{10}$	0.3085	1.67

Estimation Period:
Jul 11, 2002 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts