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

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V-Lab

Travis Perkins PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:36.11% (-0.72%)

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
$ω$	0.7312	3.33
$α$	0.1126	7.04
$β$	0.8019	27.47
$γ_{1}$	-0.0625	-0.97
$γ_{2}$	0.1066	1.20
$γ_{3}$	-0.0740	-1.73
$γ_{4}$	0.0998	2.78
$γ_{5}$	-0.1763	-5.53
$γ_{6}$	0.1809	5.82
$γ_{7}$	-0.0953	-2.59
$γ_{8}$	0.0056	0.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts