V-Lab: Capgemini SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Capgemini SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:22.54% (+0.05%)

Analysis last updated: Tuesday, April 30, 2024 at 08:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8328	7.11
$α$	0.0593	8.37
$β$	0.9111	90.66
$γ_{1}$	-0.0295	-0.96
$γ_{2}$	0.0948	2.01
$γ_{3}$	-0.1642	-4.67
$γ_{4}$	0.1546	4.46
$γ_{5}$	-0.0736	-2.03
$γ_{6}$	0.0184	0.54
$γ_{7}$	0.0167	0.55
$γ_{8}$	-0.0255	-1.16

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts