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

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V-Lab

Grafton Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:22.21% (-2.75%)

Analysis last updated: Thursday, May 9, 2024 at 08:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6357	2.84
$α$	0.1410	4.82
$β$	0.6315	10.48
$γ_{1}$	-0.1044	-0.77
$γ_{2}$	0.0685	0.34
$γ_{3}$	0.2483	1.73
$γ_{4}$	-0.4439	-3.93
$γ_{5}$	0.2920	2.00
$γ_{6}$	-0.0996	-0.45
$γ_{7}$	0.0804	0.39
$γ_{8}$	0.0230	0.18
$γ_{9}$	-0.1588	-1.50
$γ_{10}$	0.0158	0.09

Estimation Period:
Nov 16, 1999 to May 3, 2024

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Volatility Forecasts

Volatility Forecasts