V-Lab: Astellas Pharma Inc MF2-GARCH Volatility Analysis

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V-Lab

Astellas Pharma Inc MF2-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:23.95% (+0.18%)

Analysis last updated: Wednesday, May 15, 2024 at 04:04 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0392	16.46
$β$	0.8364	145.47
$γ$	0.0894	22.22
$λ_{1}$	0.0080	4.91
$λ_{2}$	0.0245	7.05
$λ_{3}$	0.9729	246.31

Estimation Period:
Jan 4, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts