V-Lab: NCC Group PLC MF2-GARCH Volatility Analysis

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V-Lab

NCC Group PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:31.78% (+1.70%)

Analysis last updated: Friday, May 3, 2024 at 03:35 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	86
$α$	0.1118	14.25
$β$	0.5790	26.77
$γ$	0.0949	6.51
$λ_{1}$	0.1061	0.81
$λ_{2}$	0.0341	0.75
$λ_{3}$	0.9452	14.14

Estimation Period:
Jul 8, 2004 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts