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

V-Lab

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V-Lab

Capita PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:50.18% (-2.47%)

Analysis last updated: Saturday, April 20, 2024 at 09:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4605	3.90
$α$	0.1928	8.63
$β$	0.6366	18.37
$γ_{1}$	-0.0291	-0.74
$γ_{2}$	0.0971	1.80
$γ_{3}$	-0.1883	-6.60
$γ_{4}$	0.1991	8.73
$γ_{5}$	-0.1226	-4.93
$γ_{6}$	0.1215	4.20
$γ_{7}$	-0.1288	-3.58
$γ_{8}$	0.0490	1.57

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

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Volatility Forecasts

Volatility Forecasts