V-Lab: Pembina Pipeline Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Pembina Pipeline Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:13.26% (+0.03%)

Analysis last updated: Thursday, April 18, 2024 at 12:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2200	5.27
$α$	0.1313	6.35
$β$	0.8214	36.79
$γ_{1}$	-0.1019	-0.95
$γ_{2}$	0.3122	1.89
$γ_{3}$	-0.3858	-3.60
$γ_{4}$	0.2413	2.66
$γ_{5}$	-0.0527	-0.71
$γ_{6}$	-0.0493	-0.67
$γ_{7}$	0.0553	0.76
$γ_{8}$	-0.0208	-0.43

Estimation Period:
Oct 26, 1998 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts