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 Monday, April 22nd, 2024:57.56% (-2.16%)

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
$ω$	0.4200	3.67
$α$	0.2052	8.75
$β$	0.5885	15.67
$γ_{1}$	-0.0761	-1.14
$γ_{2}$	0.1480	1.60
$γ_{3}$	-0.0779	-1.37
$γ_{4}$	-0.1393	-2.99
$γ_{5}$	0.2935	8.32
$γ_{6}$	-0.2320	-5.95
$γ_{7}$	0.1447	2.60
$γ_{8}$	-0.0211	-0.31
$γ_{9}$	-0.1329	-2.02
$γ_{10}$	0.1756	1.69

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts