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 Tuesday, May 7th, 2024:19.20% (-0.61%)

Analysis last updated: Tuesday, May 7, 2024 at 07:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5270	2.73
$α$	0.1048	8.02
$β$	0.8127	35.72
$γ_{1}$	-0.1336	-1.43
$γ_{2}$	0.2375	1.92
$γ_{3}$	-0.2511	-4.76
$γ_{4}$	0.2736	6.56
$γ_{5}$	-0.2060	-5.18
$γ_{6}$	0.1317	3.19
$γ_{7}$	-0.0667	-1.24
$γ_{8}$	0.0124	0.21
$γ_{9}$	-0.0003	-0.01

Estimation Period:
Jun 17, 1991 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts