V-Lab: Persimmon PLC Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Persimmon PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:35.67% (-0.22%)

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
$ω$	0.9221	5.57
$α$	0.1211	8.41
$β$	0.8179	50.62
$γ_{1}$	0.0095	2.35
$γ_{2}$	-0.0169	-2.96
$γ_{3}$	0.0162	3.58

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts