V-Lab: Tesco PLC Spline-GARCH Volatility Analysis

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V-Lab

Tesco PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:20.46% (+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
$ω$	0.6558	7.73
$α$	0.0839	7.76
$β$	0.8534	48.86
$γ_{1}$	-0.1673	-4.28
$γ_{2}$	0.2550	4.28
$γ_{3}$	-0.1219	-2.51
$γ_{4}$	-0.0301	-0.65
$γ_{5}$	0.1788	4.14
$γ_{6}$	-0.2115	-3.38
$γ_{7}$	0.2057	2.13
$γ_{8}$	-0.2185	-2.07
$γ_{9}$	0.1446	1.59
$γ_{10}$	-0.0188	-0.19

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts