V-Lab: Amgen Inc Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Amgen Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:20.94% (-0.03%)

Analysis last updated: Wednesday, May 1, 2024 at 10:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1675	5.64
$α$	0.0863	8.27
$β$	0.8360	35.97
$γ_{1}$	-0.0538	-1.09
$γ_{2}$	0.1073	1.53
$γ_{3}$	-0.0668	-1.43
$γ_{4}$	-0.0810	-1.67
$γ_{5}$	0.2403	4.02
$γ_{6}$	-0.2733	-4.06
$γ_{7}$	0.2324	3.73
$γ_{8}$	-0.1777	-3.27
$γ_{9}$	0.1247	2.39
$γ_{10}$	-0.1044	-1.30

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts