V-Lab: AstraZeneca PLC Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AstraZeneca PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:25.38% (-0.60%)

Analysis last updated: Wednesday, May 8, 2024 at 10:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7827	7.48
$α$	0.0607	4.84
$β$	0.8841	38.68
$γ_{1}$	0.0544	1.89
$γ_{2}$	-0.1163	-2.66
$γ_{3}$	0.0942	2.77
$γ_{4}$	-0.0638	-1.89
$γ_{5}$	0.0860	2.55
$γ_{6}$	-0.0999	-2.17
$γ_{7}$	0.0756	1.10

Estimation Period:
May 31, 1993 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts