V-Lab: BAE Systems PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BAE Systems PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:29.33% (-0.94%)

Analysis last updated: Saturday, April 27, 2024 at 08:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6291	5.18
$α$	0.1175	8.03
$β$	0.8247	43.06
$γ_{1}$	-0.1624	-3.96
$γ_{2}$	0.2777	4.87
$γ_{3}$	-0.2131	-7.08
$γ_{4}$	0.1508	5.95
$γ_{5}$	-0.0827	-3.18
$γ_{6}$	0.0477	1.49
$γ_{7}$	-0.0113	-0.34
$γ_{8}$	-0.0131	-0.54

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts