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

V-Lab

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V-Lab

Persimmon PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:34.87% (-0.25%)

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
$ω$	0.9614	4.68
$α$	0.1294	8.49
$β$	0.8001	46.88
$γ_{1}$	0.0190	0.62
$γ_{2}$	-0.0079	-0.17
$γ_{3}$	-0.0246	-0.78
$γ_{4}$	0.0291	1.21
$γ_{5}$	-0.0514	-2.73
$γ_{6}$	0.0779	4.34
$γ_{7}$	-0.0613	-4.46

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts