V-Lab: Associated British Foods PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Associated British Foods PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, April 30th, 2024:36.94% (-1.77%)

Analysis last updated: Wednesday, May 1, 2024 at 02:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5658	5.47
$α$	0.0714	6.84
$β$	0.8745	50.67
$γ_{1}$	-0.0813	-1.98
$γ_{2}$	0.2125	3.62
$γ_{3}$	-0.3167	-7.87
$γ_{4}$	0.2950	7.17
$γ_{5}$	-0.1340	-2.97
$γ_{6}$	0.0479	1.01
$γ_{7}$	-0.0420	-0.89
$γ_{8}$	0.0196	0.52
$γ_{9}$	-0.0027	-0.11

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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