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 Monday, April 22nd, 2024:21.61% (-1.14%)

Analysis last updated: Saturday, April 20, 2024 at 09:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3713	4.52
$α$	0.2330	5.12
$β$	0.4370	5.73
$γ_{1}$	-0.0549	-0.72
$γ_{2}$	0.0575	0.54
$γ_{3}$	0.0671	1.06
$γ_{4}$	-0.2890	-6.75
$γ_{5}$	0.4126	13.44
$γ_{6}$	-0.2941	-9.73
$γ_{7}$	0.1422	4.12
$γ_{8}$	-0.0167	-0.40
$γ_{9}$	-0.0622	-1.19
$γ_{10}$	0.0492	1.15

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

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Volatility Forecasts

Volatility Forecasts