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

V-Lab

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V-Lab

Experian PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:20.31% (-0.19%)

Analysis last updated: Friday, May 3, 2024 at 03:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7274	5.26
$α$	0.0733	5.55
$β$	0.8677	35.57
$γ_{1}$	-0.5209	-3.80
$γ_{2}$	0.7621	3.76
$γ_{3}$	-0.3094	-2.63
$γ_{4}$	0.0393	0.38
$γ_{5}$	0.1569	1.42
$γ_{6}$	-0.2392	-2.29
$γ_{7}$	0.1374	1.78

Estimation Period:
Oct 6, 2006 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts