V-Lab: United Utilities Group PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

United Utilities Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:16.82% (-0.47%)

Analysis last updated: Thursday, May 2, 2024 at 02:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8026	8.73
$α$	0.0726	6.47
$β$	0.8557	43.91
$γ_{1}$	-0.0549	-1.79
$γ_{2}$	0.1055	2.31
$γ_{3}$	-0.1328	-5.07
$γ_{4}$	0.1599	6.60
$γ_{5}$	-0.1249	-4.30
$γ_{6}$	0.0813	2.68
$γ_{7}$	-0.0507	-1.79
$γ_{8}$	0.0039	0.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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