V-Lab: J Sainsbury PLC MF2-GARCH Volatility Analysis

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V-Lab

J Sainsbury PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:30.07% (-2.58%)

Analysis last updated: Wednesday, May 1, 2024 at 03:33 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0661	12.68
$β$	0.7618	79.72
$γ$	0.0708	11.03
$λ_{1}$	0.0236	1.90
$λ_{2}$	0.0169	2.77
$λ_{3}$	0.9753	103.06

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts