V-Lab: Nexen Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nexen Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:22.18% (+6.48%)

Analysis last updated: Saturday, May 4, 2024 at 11:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8515	7.58
$α$	0.1664	9.01
$β$	0.7133	25.48
$γ_{1}$	-0.0108	-0.34
$γ_{2}$	0.0413	0.88
$γ_{3}$	-0.1325	-4.10
$γ_{4}$	0.1826	6.07
$γ_{5}$	-0.0944	-2.74
$γ_{6}$	-0.0313	-0.81
$γ_{7}$	0.1000	2.67
$γ_{8}$	-0.0782	-2.06
$γ_{9}$	0.0339	1.04

Estimation Period:
Jan 3, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts