V-Lab: Astellas Pharma Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Astellas Pharma Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 14th, 2024:24.29% (-0.23%)

Analysis last updated: Wednesday, May 15, 2024 at 04:03 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1620	6.59
$α$	0.0815	8.25
$β$	0.8722	62.60
$γ_{1}$	-0.0534	-1.32
$γ_{2}$	0.2075	3.46
$γ_{3}$	-0.2971	-7.26
$γ_{4}$	0.1897	4.82
$γ_{5}$	-0.0577	-1.45
$γ_{6}$	0.0376	1.03
$γ_{7}$	-0.0509	-1.35
$γ_{8}$	0.0452	1.21
$γ_{9}$	-0.0328	-1.24

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts