V-Lab: Berkeley Group Holdings PLC Spline-GARCH Volatility Analysis

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V-Lab

Berkeley Group Holdings PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:22.68% (-3.48%)

Analysis last updated: Saturday, May 11, 2024 at 01:27 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9861	3.30
$α$	0.2013	8.69
$β$	0.6490	17.35
$γ_{1}$	-0.0623	-1.34
$γ_{2}$	0.1788	2.90
$γ_{3}$	-0.2049	-4.48
$γ_{4}$	0.1351	2.55
$γ_{5}$	-0.0891	-1.78
$γ_{6}$	0.0745	1.86
$γ_{7}$	-0.0584	-1.50
$γ_{8}$	0.0548	1.40
$γ_{9}$	-0.1045	-2.26

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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