V-Lab: Astellas Pharma Inc Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Astellas Pharma Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:34.99% (-1.64%)

Analysis last updated: Sunday, April 21, 2024 at 01:45 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1520	6.54
$α$	0.0821	8.37
$β$	0.8713	62.43
$γ_{1}$	-0.0629	-1.55
$γ_{2}$	0.2265	3.77
$γ_{3}$	-0.3159	-7.72
$γ_{4}$	0.2073	5.27
$γ_{5}$	-0.0733	-1.84
$γ_{6}$	0.0524	1.44
$γ_{7}$	-0.0679	-1.76
$γ_{8}$	0.0706	1.42
$γ_{9}$	-0.0837	-0.71

Estimation Period:
Jan 4, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts