V-Lab: SSE PLC MF2-GARCH Volatility Analysis

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V-Lab

SSE PLC MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:20.84% (-1.07%)

Analysis last updated: Saturday, May 11, 2024 at 01:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	46
$α$	0.0597	15.13
$β$	0.7729	66.38
$γ$	0.0819	13.43
$λ_{1}$	0.0214	3.17
$λ_{2}$	0.0360	3.06
$λ_{3}$	0.9531	63.94

Estimation Period:
Jun 17, 1991 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts