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

V-Lab

| |

V-Lab

Tesco PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:20.24% (+1.44%)

Analysis last updated: Wednesday, May 8, 2024 at 09:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6978	8.05
$α$	0.0835	7.78
$β$	0.8554	49.82
$γ_{1}$	-0.1420	-3.61
$γ_{2}$	0.2187	3.64
$γ_{3}$	-0.1081	-2.20
$γ_{4}$	-0.0286	-0.61
$γ_{5}$	0.1658	3.81
$γ_{6}$	-0.1930	-3.08
$γ_{7}$	0.1883	1.96
$γ_{8}$	-0.2069	-2.01
$γ_{9}$	0.1406	1.75
$γ_{10}$	-0.0262	-0.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts