V-Lab: Associated British Foods PLC Spline-GARCH Volatility Analysis

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V-Lab

Associated British Foods PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:17.69% (-0.81%)

Analysis last updated: Saturday, April 20, 2024 at 09:34 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5198	5.60
$α$	0.0753	6.78
$β$	0.8571	44.77
$γ_{1}$	-0.1060	-2.71
$γ_{2}$	0.2512	4.53
$γ_{3}$	-0.3432	-9.08
$γ_{4}$	0.3185	8.36
$γ_{5}$	-0.1552	-3.78
$γ_{6}$	0.0695	1.61
$γ_{7}$	-0.0736	-1.73
$γ_{8}$	0.0866	2.27
$γ_{9}$	-0.1882	-2.65

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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