V-Lab: Severn Trent PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Severn Trent PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:22.44% (-0.08%)

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
$ω$	0.8446	11.11
$α$	0.1226	5.50
$β$	0.6868	15.32
$γ_{1}$	-0.0421	-2.30
$γ_{2}$	0.0935	3.30
$γ_{3}$	-0.1325	-6.14
$γ_{4}$	0.1548	7.29
$γ_{5}$	-0.1146	-3.75
$γ_{6}$	0.0569	1.18
$γ_{7}$	-0.0161	-0.34
$γ_{8}$	-0.0023	-0.09

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts