V-Lab: DuluxGroup Ltd GJR-GARCH Volatility Analysis

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V-Lab

DuluxGroup Ltd GJR-GARCH Volatility Analysis

Volatility Prediction for Wednesday, August 7th, 2019:16.36% (-0.02%)

Analysis last updated: Monday, March 1, 2021 at 06:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2080	11.17
$α$	0.0930	8.61
$β$	0.8027	63.96
$γ$	-0.0234	-1.35

Estimation Period:
Jul 12, 2010 to Jul 19, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts