V-Lab: National Grid PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

National Grid PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 17th, 2024:15.64% (-0.42%)

Analysis last updated: Friday, May 17, 2024 at 09:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9371	5.24
$α$	0.0767	6.70
$β$	0.8699	46.61
$γ_{1}$	-0.0704	-3.69
$γ_{2}$	0.1113	4.18
$γ_{3}$	-0.0661	-4.24
$γ_{4}$	0.0563	3.43
$γ_{5}$	-0.0722	-2.74

Estimation Period:
Dec 8, 1995 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts