V-Lab: BAE Systems PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

BAE Systems PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:23.84% (-1.02%)

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
$ω$	0.6289	5.18
$α$	0.1174	8.02
$β$	0.8247	43.04
$γ_{1}$	-0.1624	-3.96
$γ_{2}$	0.2777	4.87
$γ_{3}$	-0.2131	-7.08
$γ_{4}$	0.1507	5.95
$γ_{5}$	-0.0827	-3.18
$γ_{6}$	0.0477	1.50
$γ_{7}$	-0.0114	-0.34
$γ_{8}$	-0.0130	-0.53

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts