V-Lab: J Sainsbury PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

J Sainsbury PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:23.67% (-0.01%)

Analysis last updated: Thursday, April 18, 2024 at 06:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7240	7.47
$α$	0.0950	7.01
$β$	0.8140	32.94
$γ_{1}$	-0.0712	-1.79
$γ_{2}$	0.1462	2.52
$γ_{3}$	-0.1235	-2.76
$γ_{4}$	-0.0060	-0.13
$γ_{5}$	0.1786	4.17
$γ_{6}$	-0.2764	-4.48
$γ_{7}$	0.3080	4.03
$γ_{8}$	-0.2411	-3.08
$γ_{9}$	0.0879	0.96
$γ_{10}$	0.0090	0.13

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

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