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

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V-Lab

Associated British Foods PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:26.79% (-1.23%)

Analysis last updated: Saturday, May 4, 2024 at 08:37 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5213	5.58
$α$	0.0775	6.72
$β$	0.8551	44.50
$γ_{1}$	-0.1053	-2.69
$γ_{2}$	0.2499	4.49
$γ_{3}$	-0.3424	-9.01
$γ_{4}$	0.3190	8.32
$γ_{5}$	-0.1565	-3.79
$γ_{6}$	0.0698	1.60
$γ_{7}$	-0.0711	-1.65
$γ_{8}$	0.0772	1.96
$γ_{9}$	-0.1524	-1.94

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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