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

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V-Lab

BAE Systems PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:26.08% (-1.49%)

Analysis last updated: Saturday, April 20, 2024 at 09:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6031	5.02
$α$	0.1174	8.02
$β$	0.8245	43.01
$γ_{1}$	-0.1750	-4.22
$γ_{2}$	0.2971	5.16
$γ_{3}$	-0.2253	-7.44
$γ_{4}$	0.1603	6.31
$γ_{5}$	-0.0905	-3.45
$γ_{6}$	0.0539	1.64
$γ_{7}$	-0.0171	-0.47
$γ_{8}$	-0.0041	-0.08

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts