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

V-Lab

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V-Lab

BT Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:27.17% (+0.13%)

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
$ω$	0.8385	8.02
$α$	0.0621	6.25
$β$	0.8967	60.81
$γ_{1}$	0.0142	0.51
$γ_{2}$	0.0646	1.52
$γ_{3}$	-0.2237	-7.47
$γ_{4}$	0.2715	8.83
$γ_{5}$	-0.2202	-6.32
$γ_{6}$	0.1580	4.55
$γ_{7}$	-0.0835	-2.04
$γ_{8}$	0.0160	0.43

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts