V-Lab: Prumo Logistica SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Prumo Logistica SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 1st, 2018:14.28% (-0.44%)

Analysis last updated: Monday, April 30, 2018 at 09:35 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9505	2.62
$α$	0.1919	5.03
$β$	0.7052	11.56
$γ_{1}$	-2.4725	-1.08
$γ_{2}$	4.1511	1.30
$γ_{3}$	-1.8403	-1.37
$γ_{4}$	0.5954	0.63
$γ_{5}$	-0.7654	-0.71
$γ_{6}$	0.0199	0.02
$γ_{7}$	0.6215	0.52
$γ_{8}$	-0.5195	-0.55
$γ_{9}$	-0.6569	-0.61
$γ_{10}$	1.8418	2.28

Estimation Period:
Jul 28, 2008 to Apr 27, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts