V-Lab: Centrica PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Centrica PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:25.39% (-0.18%)

Analysis last updated: Saturday, May 4, 2024 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0128	4.90
$α$	0.0974	5.95
$β$	0.8300	32.61
$γ_{1}$	-0.0635	-1.00
$γ_{2}$	0.0483	0.55
$γ_{3}$	0.0826	1.54
$γ_{4}$	-0.1475	-2.73
$γ_{5}$	0.1483	2.80
$γ_{6}$	-0.0345	-0.54
$γ_{7}$	-0.1246	-1.73
$γ_{8}$	0.1265	2.38

Estimation Period:
Feb 14, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts