V-Lab: Capita PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Capita PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:53.29% (-0.34%)

Analysis last updated: Saturday, April 27, 2024 at 08:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4201	3.67
$α$	0.2051	8.75
$β$	0.5886	15.66
$γ_{1}$	-0.0760	-1.14
$γ_{2}$	0.1479	1.60
$γ_{3}$	-0.0778	-1.36
$γ_{4}$	-0.1394	-3.00
$γ_{5}$	0.2936	8.33
$γ_{6}$	-0.2322	-5.96
$γ_{7}$	0.1451	2.60
$γ_{8}$	-0.0221	-0.32
$γ_{9}$	-0.1305	-1.99
$γ_{10}$	0.1671	1.64

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

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Volatility Forecasts

Volatility Forecasts