V-Lab: Pearson PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Pearson PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:13.91% (+0.49%)

Analysis last updated: Thursday, May 2, 2024 at 02:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5246	8.64
$α$	0.1326	5.20
$β$	0.6568	11.57
$γ_{1}$	-0.1004	-2.64
$γ_{2}$	0.1445	2.67
$γ_{3}$	-0.0005	-0.01
$γ_{4}$	-0.2447	-7.77
$γ_{5}$	0.4285	13.97
$γ_{6}$	-0.3964	-10.48
$γ_{7}$	0.3220	5.61
$γ_{8}$	-0.2643	-3.31
$γ_{9}$	0.1936	2.36
$γ_{10}$	-0.3048	-3.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts