V-Lab: Compass Group PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Compass Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:17.98% (+0.93%)

Analysis last updated: Saturday, April 20, 2024 at 09:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1166	5.03
$α$	0.1050	6.79
$β$	0.7872	24.03
$γ_{1}$	-0.0850	-0.37
$γ_{2}$	0.0487	0.12
$γ_{3}$	0.1845	0.68
$γ_{4}$	-0.3552	-2.13
$γ_{5}$	0.3019	2.44
$γ_{6}$	-0.0174	-0.16
$γ_{7}$	-0.2138	-1.99
$γ_{8}$	0.4298	3.33
$γ_{9}$	-0.6827	-4.47
$γ_{10}$	0.5651	4.78

Estimation Period:
Feb 1, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts