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

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V-Lab

Canadian Pacific Kansas City Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:14.99% (-0.50%)

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
$ω$	1.3971	4.21
$α$	0.0717	3.64
$β$	0.8728	30.30
$γ_{1}$	0.0899	0.94
$γ_{2}$	0.0317	0.23
$γ_{3}$	-0.3521	-3.58
$γ_{4}$	0.4425	4.63
$γ_{5}$	-0.3666	-4.34
$γ_{6}$	0.2407	2.72
$γ_{7}$	-0.0726	-0.70
$γ_{8}$	-0.1686	-1.23

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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