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

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V-Lab

GSK PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:20.10% (+1.17%)

Analysis last updated: Friday, May 3, 2024 at 03:17 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0249	8.57
$α$	0.0696	5.15
$β$	0.8546	25.71
$γ_{1}$	-0.0927	-2.46
$γ_{2}$	0.1766	2.98
$γ_{3}$	-0.1285	-2.45
$γ_{4}$	-0.0059	-0.11
$γ_{5}$	0.1434	3.04
$γ_{6}$	-0.1769	-3.98
$γ_{7}$	0.1488	3.39
$γ_{8}$	-0.0859	-1.99
$γ_{9}$	0.0290	0.64
$γ_{10}$	-0.0146	-0.43

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

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