V-Lab: AstraZeneca PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

AstraZeneca PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.14% (-0.77%)

Analysis last updated: Friday, May 3, 2024 at 03:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7750	7.45
$α$	0.0612	4.85
$β$	0.8831	38.34
$γ_{1}$	0.0502	1.75
$γ_{2}$	-0.1088	-2.49
$γ_{3}$	0.0875	2.58
$γ_{4}$	-0.0569	-1.71
$γ_{5}$	0.0779	2.45
$γ_{6}$	-0.0867	-2.30
$γ_{7}$	0.0455	1.41

Estimation Period:
May 31, 1993 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts