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

V-Lab

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V-Lab

British American Tobacco PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:18.71% (-0.23%)

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
$ω$	0.7040	8.28
$α$	0.0663	6.88
$β$	0.8738	45.74
$γ_{1}$	-0.0265	-0.98
$γ_{2}$	0.0616	1.55
$γ_{3}$	-0.1228	-4.91
$γ_{4}$	0.1613	4.95
$γ_{5}$	-0.1226	-3.19
$γ_{6}$	0.1116	3.50
$γ_{7}$	-0.1054	-3.64
$γ_{8}$	0.0527	0.98

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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