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

V-Lab

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V-Lab

Diageo PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:19.78% (-0.33%)

Analysis last updated: Saturday, April 27, 2024 at 08:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7756	4.79
$α$	0.0657	9.04
$β$	0.9017	85.95
$γ_{1}$	-0.0458	-0.73
$γ_{2}$	0.0924	0.97
$γ_{3}$	-0.1405	-2.80
$γ_{4}$	0.1702	5.29
$γ_{5}$	-0.0965	-2.94
$γ_{6}$	0.0143	0.44
$γ_{7}$	0.0308	0.90
$γ_{8}$	-0.0422	-1.33

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts