V-Lab: William Hill PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

William Hill PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 22nd, 2021:12.42% (-1.05%)

Analysis last updated: Thursday, April 22, 2021 at 01:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3524	3.24
$α$	0.1195	6.21
$β$	0.8468	68.15
$γ_{1}$	0.0396	0.13
$γ_{2}$	-0.0152	-0.04
$γ_{3}$	0.3301	1.16
$γ_{4}$	-0.9030	-3.02
$γ_{5}$	0.8642	2.80
$γ_{6}$	-0.3850	-1.32
$γ_{7}$	0.0140	0.05
$γ_{8}$	0.3463	0.88
$γ_{9}$	-1.1603	-2.34
$γ_{10}$	1.4952	4.29

Estimation Period:
Jun 14, 2002 to Apr 16, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts