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

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V-Lab

Tesco PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:22.22% (-1.15%)

Analysis last updated: Saturday, April 27, 2024 at 08:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6980	8.04
$α$	0.0834	7.78
$β$	0.8559	50.05
$γ_{1}$	-0.1420	-3.60
$γ_{2}$	0.2187	3.63
$γ_{3}$	-0.1082	-2.20
$γ_{4}$	-0.0285	-0.61
$γ_{5}$	0.1657	3.80
$γ_{6}$	-0.1928	-3.07
$γ_{7}$	0.1883	1.96
$γ_{8}$	-0.2070	-2.01
$γ_{9}$	0.1409	1.75
$γ_{10}$	-0.0267	-0.55

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts