V-Lab: Severn Trent PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Severn Trent PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:19.51% (+0.75%)

Analysis last updated: Friday, May 3, 2024 at 03:48 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8447	11.11
$α$	0.1225	5.50
$β$	0.6868	15.33
$γ_{1}$	-0.0421	-2.29
$γ_{2}$	0.0935	3.30
$γ_{3}$	-0.1325	-6.14
$γ_{4}$	0.1548	7.29
$γ_{5}$	-0.1146	-3.75
$γ_{6}$	0.0571	1.19
$γ_{7}$	-0.0165	-0.35
$γ_{8}$	-0.0018	-0.07

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts