V-Lab: Pearson PLC Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Pearson PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:13.50% (-1.01%)

Analysis last updated: Thursday, May 16, 2024 at 08:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5218	8.60
$α$	0.1318	5.24
$β$	0.6591	11.71
$γ_{1}$	-0.1025	-2.70
$γ_{2}$	0.1479	2.74
$γ_{3}$	-0.0033	-0.09
$γ_{4}$	-0.2415	-7.67
$γ_{5}$	0.4260	13.89
$γ_{6}$	-0.3953	-10.45
$γ_{7}$	0.3219	5.59
$γ_{8}$	-0.2647	-3.29
$γ_{9}$	0.1938	2.33
$γ_{10}$	-0.3061	-3.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts