V-Lab: Babcock International Group PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Babcock International Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:30.57% (-0.33%)

Analysis last updated: Saturday, April 20, 2024 at 09:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8302	5.72
$α$	0.0816	6.26
$β$	0.8359	33.17
$γ_{1}$	-0.0461	-1.10
$γ_{2}$	0.0672	1.09
$γ_{3}$	-0.0571	-1.43
$γ_{4}$	0.0831	2.24
$γ_{5}$	-0.1048	-3.08
$γ_{6}$	0.1178	3.73
$γ_{7}$	-0.0754	-2.76
$γ_{8}$	0.0060	0.32

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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