V-Lab: William Hill PLC Spline-GARCH Volatility Analysis

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V-Lab

William Hill PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 22nd, 2021:10.63% (-0.97%)

Analysis last updated: Thursday, April 22, 2021 at 01:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3198	4.49
$α$	0.0938	5.96
$β$	0.8382	38.32
$γ_{1}$	0.1699	0.81
$γ_{2}$	-0.1919	-0.64
$γ_{3}$	0.4324	2.22
$γ_{4}$	-1.0470	-5.17
$γ_{5}$	1.0375	4.72
$γ_{6}$	-0.5589	-2.54
$γ_{7}$	0.2620	1.12
$γ_{8}$	-0.1335	-0.41
$γ_{9}$	0.1310	0.25
$γ_{10}$	-1.7846	-2.38

Estimation Period:
Jun 14, 2002 to Apr 16, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts