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

V-Lab

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V-Lab

Capita PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:46.65% (+1.73%)

Analysis last updated: Saturday, May 4, 2024 at 08:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.4596	3.87
$α$	0.1931	8.66
$β$	0.6379	18.51
$γ_{1}$	-0.0306	-0.77
$γ_{2}$	0.0989	1.83
$γ_{3}$	-0.1888	-6.62
$γ_{4}$	0.1997	8.77
$γ_{5}$	-0.1237	-5.00
$γ_{6}$	0.1227	4.26
$γ_{7}$	-0.1307	-3.66
$γ_{8}$	0.0513	1.65

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts