V-Lab: Canadian National Railway Co Spline-GARCH Volatility Analysis

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V-Lab

Canadian National Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:12.90% (-0.18%)

Analysis last updated: Thursday, April 18, 2024 at 12:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2020	5.59
$α$	0.0526	4.95
$β$	0.9031	39.51
$γ_{1}$	0.0572	1.44
$γ_{2}$	-0.1510	-2.39
$γ_{3}$	0.2141	4.29
$γ_{4}$	-0.2386	-5.28
$γ_{5}$	0.1992	4.47
$γ_{6}$	-0.1194	-2.68
$γ_{7}$	0.1059	2.21
$γ_{8}$	-0.2324	-2.78

Estimation Period:
Nov 17, 1995 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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