V-Lab: United Utilities Group PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

United Utilities Group PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:17.72% (-0.47%)

Analysis last updated: Thursday, May 16, 2024 at 08:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8035	8.72
$α$	0.0722	6.48
$β$	0.8569	44.35
$γ_{1}$	-0.0545	-1.78
$γ_{2}$	0.1048	2.30
$γ_{3}$	-0.1321	-5.04
$γ_{4}$	0.1593	6.61
$γ_{5}$	-0.1247	-4.31
$γ_{6}$	0.0814	2.69
$γ_{7}$	-0.0512	-1.80
$γ_{8}$	0.0047	0.14

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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