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 Monday, April 22nd, 2024:20.43% (-0.35%)

Analysis last updated: Saturday, April 20, 2024 at 09:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7742	7.43
$α$	0.0603	4.82
$β$	0.8850	38.99
$γ_{1}$	0.0505	1.75
$γ_{2}$	-0.1096	-2.50
$γ_{3}$	0.0885	2.60
$γ_{4}$	-0.0580	-1.73
$γ_{5}$	0.0795	2.49
$γ_{6}$	-0.0895	-2.36
$γ_{7}$	0.0485	1.50

Estimation Period:
May 31, 1993 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts