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

V-Lab

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V-Lab

Persimmon PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:31.17% (-0.92%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9616	4.68
$α$	0.1294	8.49
$β$	0.8003	46.93
$γ_{1}$	0.0189	0.62
$γ_{2}$	-0.0078	-0.17
$γ_{3}$	-0.0247	-0.78
$γ_{4}$	0.0292	1.21
$γ_{5}$	-0.0514	-2.73
$γ_{6}$	0.0778	4.32
$γ_{7}$	-0.0613	-4.43

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts