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

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V-Lab

British American Tobacco PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:20.06% (+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
$ω$	0.6542	7.65
$α$	0.0668	6.88
$β$	0.8701	43.28
$γ_{1}$	-0.0882	-2.17
$γ_{2}$	0.1664	2.74
$γ_{3}$	-0.1467	-2.94
$γ_{4}$	0.0256	0.56
$γ_{5}$	0.1301	3.25
$γ_{6}$	-0.1499	-2.89
$γ_{7}$	0.0971	1.97
$γ_{8}$	0.0143	0.33
$γ_{9}$	-0.1426	-2.87
$γ_{10}$	0.1846	2.03

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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