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

V-Lab

Procter & Gamble Co/The Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:21.98% (-1.06%)

Analysis last updated: Friday, May 16, 2025 at 11:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0738	7.10
$α$	0.0889	8.43
$β$	0.8357	45.20
$γ_{1}$	-0.0063	-0.20
$γ_{2}$	0.0669	1.41
$γ_{3}$	-0.1847	-5.37
$γ_{4}$	0.2155	6.58
$γ_{5}$	-0.1211	-3.26
$γ_{6}$	0.0326	0.86
$γ_{7}$	0.0198	0.56
$γ_{8}$	-0.0409	-0.97
$γ_{9}$	0.0396	0.56

Estimation Period:
Jan 2, 1990 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts