V-Lab: AstraZeneca PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AstraZeneca PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:31.24% (-1.22%)

Analysis last updated: Saturday, April 27, 2024 at 08:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7854	7.49
$α$	0.0611	4.86
$β$	0.8835	38.55
$γ_{1}$	0.0551	1.91
$γ_{2}$	-0.1172	-2.67
$γ_{3}$	0.0945	2.77
$γ_{4}$	-0.0641	-1.90
$γ_{5}$	0.0866	2.56
$γ_{6}$	-0.1008	-2.19
$γ_{7}$	0.0779	1.14

Estimation Period:
May 31, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts