V-Lab: Saputo Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Saputo Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:21.89% (-0.59%)

Analysis last updated: Thursday, April 18, 2024 at 12:49 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6718	7.13
$α$	0.1785	7.26
$β$	0.4895	8.75
$γ_{1}$	-0.0208	-0.47
$γ_{2}$	0.0012	0.02
$γ_{3}$	0.1461	3.63
$γ_{4}$	-0.2985	-9.44
$γ_{5}$	0.3071	8.63
$γ_{6}$	-0.1915	-4.80
$γ_{7}$	0.0931	2.19
$γ_{8}$	-0.0595	-1.75

Estimation Period:
Oct 15, 1997 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts