V-Lab: United Utilities Group PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

United Utilities Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.07% (+0.46%)

Analysis last updated: Saturday, April 20, 2024 at 09:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8307	8.82
$α$	0.0713	6.53
$β$	0.8621	46.48
$γ_{1}$	-0.0454	-1.44
$γ_{2}$	0.0900	1.92
$γ_{3}$	-0.1216	-4.53
$γ_{4}$	0.1504	6.07
$γ_{5}$	-0.1178	-3.96
$γ_{6}$	0.0780	2.55
$γ_{7}$	-0.0548	-2.08
$γ_{8}$	0.0261	1.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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