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

V-Lab

| |

V-Lab

ITV PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:28.67% (-0.35%)

Analysis last updated: Saturday, April 27, 2024 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0171	7.33
$α$	0.1387	7.14
$β$	0.7544	34.26
$γ_{1}$	-0.1146	-2.73
$γ_{2}$	0.2506	3.85
$γ_{3}$	-0.1153	-2.46
$γ_{4}$	-0.1965	-4.60
$γ_{5}$	0.3505	8.08
$γ_{6}$	-0.2723	-6.23
$γ_{7}$	0.1004	2.13
$γ_{8}$	0.0443	0.78
$γ_{9}$	-0.0644	-1.17
$γ_{10}$	0.0113	0.30

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts