V-Lab: AstraZeneca PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

AstraZeneca PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:20.75% (-0.33%)

Analysis last updated: Friday, April 19, 2024 at 08:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7803	7.47
$α$	0.0614	4.87
$β$	0.8830	38.41
$γ_{1}$	0.0513	1.78
$γ_{2}$	-0.1103	-2.51
$γ_{3}$	0.0882	2.59
$γ_{4}$	-0.0577	-1.72
$γ_{5}$	0.0792	2.48
$γ_{6}$	-0.0889	-2.33
$γ_{7}$	0.0478	1.47

Estimation Period:
May 31, 1993 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts