V-Lab: Procter & Gamble Co/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Procter & Gamble Co/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:14.93% (-0.38%)

Analysis last updated: Monday, April 29, 2024 at 10:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1145	7.71
$α$	0.0913	8.26
$β$	0.8292	42.47
$γ_{1}$	0.0213	0.83
$γ_{2}$	0.0006	0.02
$γ_{3}$	-0.1092	-3.75
$γ_{4}$	0.1754	6.16
$γ_{5}$	-0.1405	-5.32
$γ_{6}$	0.0866	2.86
$γ_{7}$	-0.0396	-1.37
$γ_{8}$	0.0001	0.00

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts