V-Lab: Travis Perkins PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Travis Perkins PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:37.10% (-0.70%)

Analysis last updated: Friday, May 3, 2024 at 03:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7306	3.28
$α$	0.1122	7.04
$β$	0.8037	27.71
$γ_{1}$	-0.0578	-0.88
$γ_{2}$	0.0973	1.07
$γ_{3}$	-0.0651	-1.50
$γ_{4}$	0.0916	2.53
$γ_{5}$	-0.1697	-5.33
$γ_{6}$	0.1783	5.82
$γ_{7}$	-0.1004	-2.96
$γ_{8}$	0.0273	1.06

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts