V-Lab: Publicis Groupe SA Spline-GARCH Volatility Analysis

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V-Lab

Publicis Groupe SA Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:16.65% (+0.31%)

Analysis last updated: Thursday, May 9, 2024 at 10:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9178	8.29
$α$	0.0958	8.67
$β$	0.8294	35.81
$γ_{1}$	-0.0277	-0.57
$γ_{2}$	0.0600	0.83
$γ_{3}$	-0.0077	-0.16
$γ_{4}$	-0.1850	-4.39
$γ_{5}$	0.3514	8.78
$γ_{6}$	-0.3158	-7.51
$γ_{7}$	0.1915	3.91
$γ_{8}$	-0.0599	-0.90
$γ_{9}$	-0.0374	-0.40
$γ_{10}$	-0.0380	-0.34

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts