V-Lab: BAE Systems PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

BAE Systems PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:25.90% (-1.50%)

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
$ω$	0.6282	5.18
$α$	0.1174	8.01
$β$	0.8246	42.98
$γ_{1}$	-0.1631	-3.97
$γ_{2}$	0.2787	4.88
$γ_{3}$	-0.2137	-7.09
$γ_{4}$	0.1509	5.94
$γ_{5}$	-0.0826	-3.16
$γ_{6}$	0.0474	1.48
$γ_{7}$	-0.0110	-0.33
$γ_{8}$	-0.0131	-0.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts