V-Lab: BP PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BP PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:19.60% (-0.59%)

Analysis last updated: Tuesday, May 7, 2024 at 07:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6437	6.11
$α$	0.0655	6.23
$β$	0.9046	69.24
$γ_{1}$	-0.0984	-2.12
$γ_{2}$	0.1851	2.77
$γ_{3}$	-0.1898	-5.64
$γ_{4}$	0.1924	6.85
$γ_{5}$	-0.1469	-4.44
$γ_{6}$	0.0749	2.02
$γ_{7}$	0.0346	0.94
$γ_{8}$	-0.1805	-2.99

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts