V-Lab: Canadian Pacific Kansas City Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Canadian Pacific Kansas City Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:31.49% (-1.68%)

Analysis last updated: Friday, April 26, 2024 at 02:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4005	4.17
$α$	0.0707	3.84
$β$	0.8771	32.19
$γ_{1}$	0.0933	0.96
$γ_{2}$	0.0239	0.17
$γ_{3}$	-0.3444	-3.44
$γ_{4}$	0.4404	4.50
$γ_{5}$	-0.3780	-4.42
$γ_{6}$	0.2799	3.22
$γ_{7}$	-0.1692	-1.89
$γ_{8}$	0.0691	1.06

Estimation Period:
Aug 21, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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