V-Lab: Travis Perkins PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Travis Perkins PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:33.55% (-1.84%)

Analysis last updated: Saturday, May 4, 2024 at 08:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7322	3.29
$α$	0.1119	7.04
$β$	0.8039	27.76
$γ_{1}$	-0.0572	-0.87
$γ_{2}$	0.0964	1.07
$γ_{3}$	-0.0644	-1.49
$γ_{4}$	0.0906	2.52
$γ_{5}$	-0.1689	-5.33
$γ_{6}$	0.1784	5.84
$γ_{7}$	-0.1015	-3.00
$γ_{8}$	0.0284	1.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts