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

V-Lab

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V-Lab

Diageo PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:18.10% (-0.36%)

Analysis last updated: Tuesday, May 7, 2024 at 07:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7773	4.80
$α$	0.0656	9.03
$β$	0.9019	86.01
$γ_{1}$	-0.0451	-0.72
$γ_{2}$	0.0913	0.96
$γ_{3}$	-0.1399	-2.78
$γ_{4}$	0.1701	5.30
$γ_{5}$	-0.0971	-2.96
$γ_{6}$	0.0152	0.47
$γ_{7}$	0.0297	0.86
$γ_{8}$	-0.0412	-1.30

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts