V-Lab: National Grid PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

National Grid PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:17.04% (+0.75%)

Analysis last updated: Saturday, May 4, 2024 at 08:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9113	4.06
$α$	0.0802	6.89
$β$	0.8553	42.34
$γ_{1}$	-0.0723	-0.98
$γ_{2}$	0.0175	0.17
$γ_{3}$	0.1632	3.16
$γ_{4}$	-0.1917	-4.54
$γ_{5}$	0.1133	2.57
$γ_{6}$	-0.0012	-0.03
$γ_{7}$	-0.0627	-1.31
$γ_{8}$	0.0433	1.24

Estimation Period:
Dec 8, 1995 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts