V-Lab: Grafton Group PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Grafton Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:24.26% (+1.98%)

Analysis last updated: Saturday, April 27, 2024 at 08:36 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6557	2.87
$α$	0.1367	4.80
$β$	0.6422	10.88
$γ_{1}$	-0.0866	-0.64
$γ_{2}$	0.0481	0.23
$γ_{3}$	0.2449	1.68
$γ_{4}$	-0.4257	-3.71
$γ_{5}$	0.2669	1.80
$γ_{6}$	-0.0758	-0.34
$γ_{7}$	0.0550	0.26
$γ_{8}$	0.0642	0.52
$γ_{9}$	-0.2431	-3.01
$γ_{10}$	0.2265	3.85

Estimation Period:
Nov 16, 1999 to Apr 26, 2024

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