V-Lab: SSE PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

SSE PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:22.05% (-1.70%)

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
$ω$	0.5007	2.64
$α$	0.1074	7.95
$β$	0.7987	32.82
$γ_{1}$	-0.1564	-1.66
$γ_{2}$	0.2749	2.21
$γ_{3}$	-0.2784	-5.42
$γ_{4}$	0.2983	7.46
$γ_{5}$	-0.2295	-6.02
$γ_{6}$	0.1542	3.88
$γ_{7}$	-0.0932	-1.76
$γ_{8}$	0.0635	0.98
$γ_{9}$	-0.1357	-1.69

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts