V-Lab: Agrium Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Agrium Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, January 2nd, 2018:18.41% (-0.57%)

Analysis last updated: Friday, December 29, 2017 at 09:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0277	7.55
$α$	0.0735	6.26
$β$	0.8297	26.65
$γ_{1}$	0.0856	2.08
$γ_{2}$	-0.1121	-1.77
$γ_{3}$	0.0025	0.06
$γ_{4}$	0.0991	2.86
$γ_{5}$	-0.2050	-5.06
$γ_{6}$	0.2213	3.86
$γ_{7}$	-0.1373	-1.75

Estimation Period:
Apr 21, 1993 to Dec 29, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts