V-Lab: Astellas Pharma Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Astellas Pharma Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:30.86% (-1.61%)

Analysis last updated: Tuesday, April 30, 2024 at 10:52 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1497	6.52
$α$	0.0819	8.37
$β$	0.8717	62.59
$γ_{1}$	-0.0634	-1.56
$γ_{2}$	0.2272	3.78
$γ_{3}$	-0.3162	-7.72
$γ_{4}$	0.2075	5.27
$γ_{5}$	-0.0734	-1.84
$γ_{6}$	0.0524	1.44
$γ_{7}$	-0.0679	-1.76
$γ_{8}$	0.0706	1.42
$γ_{9}$	-0.0836	-0.72

Estimation Period:
Jan 4, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts