V-Lab: Veresen Inc GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Veresen Inc GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2017:18.74% (+3.04%)

Analysis last updated: Monday, March 1, 2021 at 06:21 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0314	10.06
$α$	0.0037	2.90
$β$	0.9451	369.62
$γ$	0.0756	12.00

Estimation Period:
Jan 7, 1998 to Sep 29, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts