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

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V-Lab

Associated British Foods PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:23.03% (-0.58%)

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
$ω$	0.5700	5.44
$α$	0.0699	6.81
$β$	0.8778	52.02
$γ_{1}$	-0.0808	-1.94
$γ_{2}$	0.2124	3.58
$γ_{3}$	-0.3171	-7.79
$γ_{4}$	0.2940	7.05
$γ_{5}$	-0.1316	-2.87
$γ_{6}$	0.0449	0.93
$γ_{7}$	-0.0381	-0.80
$γ_{8}$	0.0126	0.34
$γ_{9}$	0.0052	0.23

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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