V-Lab: Catamaran Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Catamaran Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, July 28th, 2015:29.72% (-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
$ω$	0.3804	4.17
$α$	0.2420	6.18
$β$	0.3658	5.63
$γ_{1}$	-0.5729	-7.57
$γ_{2}$	0.7935	7.38
$γ_{3}$	-0.2877	-4.46
$γ_{4}$	0.0642	1.31
$γ_{5}$	0.0640	1.52
$γ_{6}$	-0.1223	-2.32
$γ_{7}$	0.1169	1.01

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts