V-Lab: Severn Trent PLC Spline-GARCH Volatility Analysis

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V-Lab

Severn Trent PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:18.22% (-0.43%)

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
$ω$	0.8131	10.86
$α$	0.1232	5.51
$β$	0.6787	14.73
$γ_{1}$	-0.0536	-2.91
$γ_{2}$	0.1121	3.96
$γ_{3}$	-0.1453	-6.78
$γ_{4}$	0.1651	7.77
$γ_{5}$	-0.1222	-3.93
$γ_{6}$	0.0608	1.23
$γ_{7}$	-0.0134	-0.26
$γ_{8}$	-0.0196	-0.45

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

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Volatility Forecasts

Volatility Forecasts