V-Lab: Capgemini SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Capgemini SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:21.14% (-0.33%)

Analysis last updated: Saturday, April 20, 2024 at 11:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8327	7.09
$α$	0.0593	8.37
$β$	0.9113	90.84
$γ_{1}$	-0.0295	-0.96
$γ_{2}$	0.0950	2.01
$γ_{3}$	-0.1642	-4.66
$γ_{4}$	0.1539	4.42
$γ_{5}$	-0.0723	-1.98
$γ_{6}$	0.0172	0.50
$γ_{7}$	0.0174	0.57
$γ_{8}$	-0.0257	-1.16

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts