V-Lab: easyJet PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

easyJet PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:30.67% (-0.96%)

Analysis last updated: Thursday, May 16, 2024 at 08:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5904	2.94
$α$	0.0858	4.58
$β$	0.8095	21.95
$γ_{1}$	-0.1977	-0.86
$γ_{2}$	0.0587	0.17
$γ_{3}$	0.3624	1.55
$γ_{4}$	-0.3988	-2.31
$γ_{5}$	0.2239	1.17
$γ_{6}$	0.0075	0.04
$γ_{7}$	-0.1362	-0.91
$γ_{8}$	0.3114	2.52
$γ_{9}$	-0.5772	-3.77
$γ_{10}$	0.5214	2.29

Estimation Period:
Nov 14, 2000 to May 10, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts