V-Lab: J Sainsbury PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

J Sainsbury PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:29.84% (-2.00%)

Analysis last updated: Wednesday, May 1, 2024 at 03:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7173	7.37
$α$	0.0946	6.98
$β$	0.8151	33.05
$γ_{1}$	-0.0729	-1.82
$γ_{2}$	0.1478	2.54
$γ_{3}$	-0.1234	-2.76
$γ_{4}$	-0.0054	-0.12
$γ_{5}$	0.1765	4.15
$γ_{6}$	-0.2735	-4.48
$γ_{7}$	0.3055	4.03
$γ_{8}$	-0.2407	-3.10
$γ_{9}$	0.0899	0.99
$γ_{10}$	0.0065	0.09

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

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