V-Lab: Burberry Group PLC Spline-GARCH Volatility Analysis

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V-Lab

Burberry Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:30.78% (-1.04%)

Analysis last updated: Saturday, April 27, 2024 at 08:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5311	6.26
$α$	0.1068	5.93
$β$	0.7719	20.04
$γ_{1}$	-0.0547	-0.42
$γ_{2}$	0.4689	2.31
$γ_{3}$	-0.7782	-5.04
$γ_{4}$	0.5826	3.88
$γ_{5}$	-0.5007	-2.71
$γ_{6}$	0.5537	3.30
$γ_{7}$	-0.3693	-2.84
$γ_{8}$	0.1633	1.12
$γ_{9}$	-0.2013	-1.34
$γ_{10}$	0.2979	1.65

Estimation Period:
Jul 11, 2002 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts