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

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V-Lab

GSK PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:19.53% (+0.24%)

Analysis last updated: Thursday, April 18, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0251	8.56
$α$	0.0698	5.15
$β$	0.8542	25.60
$γ_{1}$	-0.0926	-2.45
$γ_{2}$	0.1763	2.97
$γ_{3}$	-0.1277	-2.42
$γ_{4}$	-0.0073	-0.13
$γ_{5}$	0.1446	3.06
$γ_{6}$	-0.1774	-3.97
$γ_{7}$	0.1485	3.37
$γ_{8}$	-0.0853	-1.96
$γ_{9}$	0.0284	0.62
$γ_{10}$	-0.0142	-0.41

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

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