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

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V-Lab

Tesco PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:23.57% (-1.25%)

Analysis last updated: Saturday, April 20, 2024 at 09:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6958	8.03
$α$	0.0834	7.77
$β$	0.8555	49.82
$γ_{1}$	-0.1425	-3.61
$γ_{2}$	0.2191	3.63
$γ_{3}$	-0.1072	-2.18
$γ_{4}$	-0.0305	-0.65
$γ_{5}$	0.1681	3.83
$γ_{6}$	-0.1951	-3.06
$γ_{7}$	0.1900	1.95
$γ_{8}$	-0.2072	-2.00
$γ_{9}$	0.1392	1.73
$γ_{10}$	-0.0248	-0.51

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts