V-Lab: Pengrowth Energy Corp Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Pengrowth Energy Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 9th, 2020:146.83% (-13.07%)

Analysis last updated: Thursday, January 9, 2020 at 12:06 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7560	1.41
$α$	0.1556	8.66
$β$	0.8333	51.88
$γ_{1}$	-0.0029	-0.02
$γ_{2}$	-0.0849	-0.32
$γ_{3}$	0.2304	1.32
$γ_{4}$	-0.1865	-1.35
$γ_{5}$	0.0036	0.04

Estimation Period:
Jul 27, 2004 to Jan 3, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts