V-Lab: Sage Group PLC/The Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Sage Group PLC/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:22.67% (-2.75%)

Analysis last updated: Friday, April 19, 2024 at 07:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3713	4.51
$α$	0.2331	5.12
$β$	0.4390	5.77
$γ_{1}$	-0.0548	-0.72
$γ_{2}$	0.0573	0.54
$γ_{3}$	0.0675	1.07
$γ_{4}$	-0.2892	-6.75
$γ_{5}$	0.4125	13.42
$γ_{6}$	-0.2939	-9.71
$γ_{7}$	0.1419	4.11
$γ_{8}$	-0.0167	-0.40
$γ_{9}$	-0.0617	-1.18
$γ_{10}$	0.0486	1.13

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

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Volatility Forecasts

Volatility Forecasts