V-Lab: British American Tobacco PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

British American Tobacco PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:18.09% (+0.01%)

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
$ω$	0.7309	8.45
$α$	0.0665	6.93
$β$	0.8744	46.44
$γ_{1}$	-0.0164	-0.60
$γ_{2}$	0.0455	1.13
$γ_{3}$	-0.1120	-4.48
$γ_{4}$	0.1521	4.69
$γ_{5}$	-0.1147	-3.00
$γ_{6}$	0.1055	3.35
$γ_{7}$	-0.1008	-3.78
$γ_{8}$	0.0487	2.38

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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