V-Lab: Capgemini SE Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Capgemini SE Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:25.62% (+0.22%)

Analysis last updated: Saturday, May 4, 2024 at 09:57 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8332	7.13
$α$	0.0593	8.36
$β$	0.9109	90.41
$γ_{1}$	-0.0290	-0.95
$γ_{2}$	0.0940	2.00
$γ_{3}$	-0.1636	-4.68
$γ_{4}$	0.1543	4.49
$γ_{5}$	-0.0736	-2.05
$γ_{6}$	0.0184	0.54
$γ_{7}$	0.0173	0.57
$γ_{8}$	-0.0266	-1.22

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts