V-Lab: GSK PLC Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

GSK PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:16.48% (-0.40%)

Analysis last updated: Thursday, May 16, 2024 at 08:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9683	8.20
$α$	0.0703	5.07
$β$	0.8499	24.18
$γ_{1}$	-0.1168	-3.08
$γ_{2}$	0.2119	3.56
$γ_{3}$	-0.1439	-2.76
$γ_{4}$	-0.0038	-0.07
$γ_{5}$	0.1521	3.31
$γ_{6}$	-0.1918	-4.42
$γ_{7}$	0.1654	3.84
$γ_{8}$	-0.1038	-2.36
$γ_{9}$	0.0534	1.01
$γ_{10}$	-0.0669	-0.93

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts