V-Lab: National Grid PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

National Grid PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.67% (-0.54%)

Analysis last updated: Saturday, April 20, 2024 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9132	4.04
$α$	0.0801	6.89
$β$	0.8563	42.73
$γ_{1}$	-0.0722	-0.96
$γ_{2}$	0.0168	0.16
$γ_{3}$	0.1641	3.14
$γ_{4}$	-0.1916	-4.48
$γ_{5}$	0.1120	2.51
$γ_{6}$	-0.0002	-0.00
$γ_{7}$	-0.0617	-1.28
$γ_{8}$	0.0410	1.18

Estimation Period:
Dec 8, 1995 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts