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

V-Lab

| |

V-Lab

Severn Trent PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:22.51% (+2.51%)

Analysis last updated: Friday, April 19, 2024 at 07:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8438	11.11
$α$	0.1228	5.50
$β$	0.6856	15.25
$γ_{1}$	-0.0426	-2.32
$γ_{2}$	0.0944	3.33
$γ_{3}$	-0.1334	-6.17
$γ_{4}$	0.1554	7.29
$γ_{5}$	-0.1149	-3.73
$γ_{6}$	0.0569	1.18
$γ_{7}$	-0.0159	-0.34
$γ_{8}$	-0.0025	-0.10

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts