V-Lab: Capita PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Capita PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:64.14% (-6.21%)

Analysis last updated: Thursday, April 18, 2024 at 06:58 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4201	3.67
$α$	0.2056	8.76
$β$	0.5884	15.67
$γ_{1}$	-0.0763	-1.14
$γ_{2}$	0.1481	1.60
$γ_{3}$	-0.0770	-1.35
$γ_{4}$	-0.1407	-3.02
$γ_{5}$	0.2939	8.32
$γ_{6}$	-0.2304	-5.88
$γ_{7}$	0.1412	2.53
$γ_{8}$	-0.0162	-0.24
$γ_{9}$	-0.1372	-2.10
$γ_{10}$	0.1779	1.70

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

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Volatility Forecasts

Volatility Forecasts