V-Lab: Wm Morrison Supermarkets PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Wm Morrison Supermarkets PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 28th, 2021:13.55% (-0.08%)

Analysis last updated: Thursday, October 28, 2021 at 01:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7558	3.24
$α$	0.1304	6.41
$β$	0.7616	22.51
$γ_{1}$	-0.0469	-0.75
$γ_{2}$	0.0958	1.15
$γ_{3}$	-0.1081	-2.40
$γ_{4}$	0.0997	2.16
$γ_{5}$	-0.0924	-2.17
$γ_{6}$	0.1264	3.88
$γ_{7}$	-0.1419	-4.40
$γ_{8}$	0.0964	3.36

Estimation Period:
Jan 1, 1990 to Oct 22, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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