V-Lab: Burberry Group PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Burberry Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:27.94% (+2.82%)

Analysis last updated: Saturday, May 4, 2024 at 08:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5324	6.17
$α$	0.1067	5.83
$β$	0.7743	20.07
$γ_{1}$	-0.0340	-0.26
$γ_{2}$	0.4273	2.10
$γ_{3}$	-0.7394	-4.81
$γ_{4}$	0.5497	3.66
$γ_{5}$	-0.4716	-2.53
$γ_{6}$	0.5255	3.07
$γ_{7}$	-0.3385	-2.56
$γ_{8}$	0.1211	0.84
$γ_{9}$	-0.1305	-0.91
$γ_{10}$	0.1371	1.36

Estimation Period:
Jul 11, 2002 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts