V-Lab: British American Tobacco PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

British American Tobacco PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:18.63% (-0.24%)

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
$ω$	0.7311	8.42
$α$	0.0665	6.95
$β$	0.8748	46.80
$γ_{1}$	-0.0159	-0.58
$γ_{2}$	0.0445	1.10
$γ_{3}$	-0.1107	-4.43
$γ_{4}$	0.1510	4.69
$γ_{5}$	-0.1139	-3.00
$γ_{6}$	0.1050	3.35
$γ_{7}$	-0.1009	-3.78
$γ_{8}$	0.0492	2.40

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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