V-Lab: Persimmon PLC MF2-GARCH Volatility Analysis

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V-Lab

Persimmon PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:30.89% (+0.19%)

Analysis last updated: Thursday, May 2, 2024 at 02:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0863	20.30
$β$	0.7633	83.73
$γ$	0.0717	9.30
$λ_{1}$	0.0502	2.96
$λ_{2}$	0.0402	2.96
$λ_{3}$	0.9486	54.62

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts