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

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V-Lab

Severn Trent PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:19.66% (-0.50%)

Analysis last updated: Thursday, May 16, 2024 at 08:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8134	10.84
$α$	0.1229	5.51
$β$	0.6801	14.81
$γ_{1}$	-0.0528	-2.88
$γ_{2}$	0.1103	3.91
$γ_{3}$	-0.1436	-6.73
$γ_{4}$	0.1638	7.79
$γ_{5}$	-0.1218	-3.98
$γ_{6}$	0.0611	1.25
$γ_{7}$	-0.0143	-0.28
$γ_{8}$	-0.0184	-0.42

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts