V-Lab: Centrica PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Centrica PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.68% (-0.74%)

Analysis last updated: Saturday, April 20, 2024 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0178	4.93
$α$	0.0964	5.94
$β$	0.8321	33.01
$γ_{1}$	-0.0615	-0.97
$γ_{2}$	0.0451	0.52
$γ_{3}$	0.0846	1.56
$γ_{4}$	-0.1486	-2.73
$γ_{5}$	0.1482	2.78
$γ_{6}$	-0.0336	-0.52
$γ_{7}$	-0.1250	-1.72
$γ_{8}$	0.1257	2.35

Estimation Period:
Feb 14, 1997 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts