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

V-Lab

| |

V-Lab

Sage Group PLC/The Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:20.10% (-1.16%)

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
$ω$	0.3656	4.52
$α$	0.2341	5.21
$β$	0.4268	5.62
$γ_{1}$	-0.0609	-0.80
$γ_{2}$	0.0639	0.60
$γ_{3}$	0.0721	1.15
$γ_{4}$	-0.3039	-7.14
$γ_{5}$	0.4340	14.23
$γ_{6}$	-0.3173	-10.65
$γ_{7}$	0.1630	4.87
$γ_{8}$	-0.0341	-0.87
$γ_{9}$	-0.0438	-0.88
$γ_{10}$	0.0138	0.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts