V-Lab: SSE PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SSE PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:24.02% (-1.03%)

Analysis last updated: Saturday, April 20, 2024 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5267	2.73
$α$	0.1046	8.00
$β$	0.8133	35.76
$γ_{1}$	-0.1342	-1.43
$γ_{2}$	0.2386	1.92
$γ_{3}$	-0.2522	-4.76
$γ_{4}$	0.2742	6.54
$γ_{5}$	-0.2059	-5.15
$γ_{6}$	0.1315	3.17
$γ_{7}$	-0.0671	-1.24
$γ_{8}$	0.0143	0.24
$γ_{9}$	-0.0028	-0.07

Estimation Period:
Jun 17, 1991 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts