V-Lab: Capita PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Capita PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:45.69% (-0.50%)

Analysis last updated: Saturday, April 27, 2024 at 08:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4622	3.89
$α$	0.1928	8.65
$β$	0.6381	18.51
$γ_{1}$	-0.0289	-0.73
$γ_{2}$	0.0967	1.79
$γ_{3}$	-0.1881	-6.58
$γ_{4}$	0.1991	8.70
$γ_{5}$	-0.1229	-4.93
$γ_{6}$	0.1220	4.21
$γ_{7}$	-0.1296	-3.61
$γ_{8}$	0.0499	1.60

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts