V-Lab: NCC Group PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

NCC Group PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:34.42% (-4.25%)

Analysis last updated: Thursday, May 2, 2024 at 02:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7389	4.66
$α$	0.1701	5.61
$β$	0.5249	7.19
$γ_{1}$	-0.1212	-0.48
$γ_{2}$	0.3759	1.01
$γ_{3}$	-0.5324	-2.34
$γ_{4}$	0.4154	1.84
$γ_{5}$	-0.2123	-1.04
$γ_{6}$	0.2412	1.47
$γ_{7}$	-0.4104	-1.79
$γ_{8}$	0.4085	1.33
$γ_{9}$	-0.2419	-0.89
$γ_{10}$	0.1031	0.59

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts