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

V-Lab

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V-Lab

Veresen Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2017:28.60% (+2.77%)

Analysis last updated: Wednesday, October 4, 2017 at 08:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8645	5.60
$α$	0.1417	7.34
$β$	0.7599	23.84
$γ_{1}$	0.0045	0.04
$γ_{2}$	0.0437	0.22
$γ_{3}$	0.1255	0.77
$γ_{4}$	-0.3827	-1.81
$γ_{5}$	0.2920	1.35
$γ_{6}$	-0.0883	-0.55
$γ_{7}$	0.0533	0.46
$γ_{8}$	-0.1002	-1.35

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts