V-Lab: Persimmon PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Persimmon PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:41.69% (+7.85%)

Analysis last updated: Saturday, May 4, 2024 at 08:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9615	4.68
$α$	0.1292	8.48
$β$	0.8006	47.00
$γ_{1}$	0.0190	0.62
$γ_{2}$	-0.0080	-0.17
$γ_{3}$	-0.0245	-0.78
$γ_{4}$	0.0288	1.20
$γ_{5}$	-0.0510	-2.71
$γ_{6}$	0.0777	4.33
$γ_{7}$	-0.0614	-4.48

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts