V-Lab: ITV PLC Spline-GARCH Volatility Analysis

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V-Lab

ITV PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.44% (-1.19%)

Analysis last updated: Saturday, April 20, 2024 at 09:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9630	7.30
$α$	0.1397	7.21
$β$	0.7425	32.65
$γ_{1}$	-0.1341	-3.30
$γ_{2}$	0.2782	4.44
$γ_{3}$	-0.1242	-2.76
$γ_{4}$	-0.2020	-4.92
$γ_{5}$	0.3681	8.71
$γ_{6}$	-0.2958	-6.89
$γ_{7}$	0.1228	2.64
$γ_{8}$	0.0236	0.41
$γ_{9}$	-0.0331	-0.54
$γ_{10}$	-0.0628	-0.53

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

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Volatility Forecasts

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