V-Lab: Canadian National Railway Co Spline-GARCH Volatility Analysis

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V-Lab

Canadian National Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:23.60% (-0.93%)

Analysis last updated: Friday, April 26, 2024 at 10:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8884	5.00
$α$	0.0579	5.64
$β$	0.8969	53.98
$γ_{1}$	-0.0181	-0.35
$γ_{2}$	-0.0437	-0.58
$γ_{3}$	0.1830	3.34
$γ_{4}$	-0.2702	-5.09
$γ_{5}$	0.2528	4.62
$γ_{6}$	-0.1468	-2.53
$γ_{7}$	0.1105	1.78
$γ_{8}$	-0.2104	-1.94

Estimation Period:
Nov 20, 1996 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts