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 Monday, December 30th, 2024:14.12% (-0.23%)

Analysis last updated: Friday, December 27, 2024 at 11:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0969	7.21
$α$	0.0909	8.41
$β$	0.8317	43.95
$γ_{1}$	0.0008	0.02
$γ_{2}$	0.0554	1.15
$γ_{3}$	-0.1734	-4.95
$γ_{4}$	0.1976	5.89
$γ_{5}$	-0.0992	-2.58
$γ_{6}$	0.0155	0.41
$γ_{7}$	0.0268	0.78
$γ_{8}$	-0.0373	-1.08
$γ_{9}$	0.0134	0.51

Estimation Period:
Jan 2, 1990 to Dec 27, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts