V-Lab: Travis Perkins PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Travis Perkins PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.81% (-0.87%)

Analysis last updated: Saturday, April 20, 2024 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7433	3.32
$α$	0.1123	7.10
$β$	0.8047	28.23
$γ_{1}$	-0.0560	-0.85
$γ_{2}$	0.0952	1.05
$γ_{3}$	-0.0648	-1.49
$γ_{4}$	0.0918	2.52
$γ_{5}$	-0.1700	-5.30
$γ_{6}$	0.1785	5.79
$γ_{7}$	-0.1013	-2.98
$γ_{8}$	0.0288	1.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts