V-Lab: SSE PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SSE PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:19.71% (-0.64%)

Analysis last updated: Saturday, April 27, 2024 at 08:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5267	2.73
$α$	0.1048	8.01
$β$	0.8127	35.67
$γ_{1}$	-0.1337	-1.43
$γ_{2}$	0.2376	1.92
$γ_{3}$	-0.2512	-4.77
$γ_{4}$	0.2738	6.56
$γ_{5}$	-0.2062	-5.19
$γ_{6}$	0.1320	3.20
$γ_{7}$	-0.0670	-1.25
$γ_{8}$	0.0130	0.22
$γ_{9}$	-0.0011	-0.03

Estimation Period:
Jun 17, 1991 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts