V-Lab: GSK PLC Spline-GARCH Volatility Analysis

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V-Lab

GSK PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:17.73% (-0.56%)

Analysis last updated: Wednesday, May 1, 2024 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9680	8.19
$α$	0.0705	5.08
$β$	0.8499	24.19
$γ_{1}$	-0.1170	-3.07
$γ_{2}$	0.2120	3.55
$γ_{3}$	-0.1433	-2.73
$γ_{4}$	-0.0051	-0.10
$γ_{5}$	0.1534	3.32
$γ_{6}$	-0.1923	-4.41
$γ_{7}$	0.1651	3.81
$γ_{8}$	-0.1030	-2.33
$γ_{9}$	0.0526	0.99
$γ_{10}$	-0.0639	-0.88

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

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Volatility Forecasts

Volatility Forecasts