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

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V-Lab

NCC Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:29.18% (+0.40%)

Analysis last updated: Friday, May 3, 2024 at 03:34 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7231	4.56
$α$	0.1714	5.69
$β$	0.5213	7.16
$γ_{1}$	-0.1519	-0.60
$γ_{2}$	0.4261	1.15
$γ_{3}$	-0.5691	-2.49
$γ_{4}$	0.4468	1.95
$γ_{5}$	-0.2377	-1.15
$γ_{6}$	0.2572	1.56
$γ_{7}$	-0.4097	-1.74
$γ_{8}$	0.3743	1.15
$γ_{9}$	-0.1326	-0.37
$γ_{10}$	-0.2302	-0.46

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

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Volatility Forecasts

Volatility Forecasts