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

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V-Lab

Centrica PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:24.76% (+0.88%)

Analysis last updated: Saturday, April 27, 2024 at 08:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0156	4.92
$α$	0.0971	5.95
$β$	0.8306	32.75
$γ_{1}$	-0.0625	-0.99
$γ_{2}$	0.0468	0.54
$γ_{3}$	0.0834	1.55
$γ_{4}$	-0.1478	-2.74
$γ_{5}$	0.1481	2.79
$γ_{6}$	-0.0342	-0.53
$γ_{7}$	-0.1250	-1.73
$γ_{8}$	0.1270	2.38

Estimation Period:
Feb 14, 1997 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts