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

V-Lab

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V-Lab

Astellas Pharma Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 15th, 2024:18.87% (-0.35%)

Analysis last updated: Sunday, April 14, 2024 at 12:43 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1535	6.63
$α$	0.0868	8.50
$β$	0.8627	59.21
$γ_{1}$	-0.0631	-1.58
$γ_{2}$	0.2268	3.83
$γ_{3}$	-0.3152	-7.82
$γ_{4}$	0.2055	5.30
$γ_{5}$	-0.0724	-1.85
$γ_{6}$	0.0545	1.52
$γ_{7}$	-0.0753	-2.02
$γ_{8}$	0.0892	1.97
$γ_{9}$	-0.1499	-1.58

Estimation Period:
Jan 4, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts