V-Lab: Sage Group PLC/The Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Sage Group PLC/The Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:21.29% (-1.11%)

Analysis last updated: Thursday, May 2, 2024 at 02:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3797	4.63
$α$	0.2356	5.10
$β$	0.4300	5.59
$γ_{1}$	-0.0508	-0.67
$γ_{2}$	0.0541	0.51
$γ_{3}$	0.0645	1.03
$γ_{4}$	-0.2854	-6.69
$γ_{5}$	0.4106	13.40
$γ_{6}$	-0.2945	-9.77
$γ_{7}$	0.1435	4.16
$γ_{8}$	-0.0174	-0.42
$γ_{9}$	-0.0630	-1.21
$γ_{10}$	0.0508	1.18

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts