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

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V-Lab

BAE Systems PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:29.57% (-0.93%)

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
$ω$	0.6040	5.01
$α$	0.1175	8.04
$β$	0.8248	43.17
$γ_{1}$	-0.1743	-4.20
$γ_{2}$	0.2961	5.14
$γ_{3}$	-0.2248	-7.42
$γ_{4}$	0.1602	6.31
$γ_{5}$	-0.0907	-3.47
$γ_{6}$	0.0546	1.67
$γ_{7}$	-0.0184	-0.51
$γ_{8}$	-0.0011	-0.02

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts