V-Lab: Canadian Pacific Kansas City Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Canadian Pacific Kansas City Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:18.14% (-0.42%)

Analysis last updated: Friday, April 19, 2024 at 02:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4002	4.16
$α$	0.0708	3.83
$β$	0.8772	32.19
$γ_{1}$	0.0925	0.95
$γ_{2}$	0.0260	0.19
$γ_{3}$	-0.3466	-3.44
$γ_{4}$	0.4412	4.48
$γ_{5}$	-0.3767	-4.38
$γ_{6}$	0.2765	3.16
$γ_{7}$	-0.1636	-1.82
$γ_{8}$	0.0640	0.98

Estimation Period:
Aug 21, 2001 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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