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

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V-Lab

J Sainsbury PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:28.62% (-2.07%)

Analysis last updated: Wednesday, May 1, 2024 at 03:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6797	7.09
$α$	0.0940	7.08
$β$	0.8137	32.61
$γ_{1}$	-0.0968	-2.42
$γ_{2}$	0.1827	3.16
$γ_{3}$	-0.1373	-3.13
$γ_{4}$	-0.0070	-0.16
$γ_{5}$	0.1895	4.51
$γ_{6}$	-0.2919	-4.87
$γ_{7}$	0.3248	4.29
$γ_{8}$	-0.2599	-3.10
$γ_{9}$	0.1148	1.00
$γ_{10}$	-0.0468	-0.30

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts