V-Lab: Associated British Foods PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Associated British Foods PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:31.18% (-1.03%)

Analysis last updated: Saturday, May 4, 2024 at 08:38 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5632	5.46
$α$	0.0709	6.82
$β$	0.8749	50.62
$γ_{1}$	-0.0820	-1.99
$γ_{2}$	0.2132	3.63
$γ_{3}$	-0.3168	-7.88
$γ_{4}$	0.2947	7.18
$γ_{5}$	-0.1336	-2.97
$γ_{6}$	0.0477	1.00
$γ_{7}$	-0.0419	-0.89
$γ_{8}$	0.0193	0.51
$γ_{9}$	-0.0022	-0.10

Estimation Period:
Jan 1, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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