V-Lab: Catamaran Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Catamaran Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 28th, 2015:27.45% (-0.06%)

Analysis last updated: Friday, January 29, 2016 at 03:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3839	4.20
$α$	0.2413	6.18
$β$	0.3669	5.64
$γ_{1}$	-0.5683	-7.47
$γ_{2}$	0.7864	7.26
$γ_{3}$	-0.2839	-4.37
$γ_{4}$	0.0638	1.29
$γ_{5}$	0.0594	1.35
$γ_{6}$	-0.1091	-1.99
$γ_{7}$	0.0829	1.70

Estimation Period:
Jan 1, 1990 to Jul 24, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts