V-Lab: Persimmon PLC MF2-GARCH Volatility Analysis

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V-Lab

Persimmon PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:27.01% (-1.14%)

Analysis last updated: Wednesday, May 15, 2024 at 07:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0857	20.20
$β$	0.7642	84.06
$γ$	0.0720	9.37
$λ_{1}$	0.0500	2.97
$λ_{2}$	0.0400	2.97
$λ_{3}$	0.9488	55.07

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts