V-Lab: CPFL Energia SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CPFL Energia SA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:16.40% (-0.92%)

Analysis last updated: Saturday, April 20, 2024 at 08:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5474	4.25
$α$	0.1550	4.55
$β$	0.8214	25.61
$γ_{1}$	0.2083	0.94
$γ_{2}$	-0.4752	-1.34
$γ_{3}$	0.3925	1.55
$γ_{4}$	0.0004	0.00
$γ_{5}$	-0.7957	-2.98
$γ_{6}$	1.7702	7.02
$γ_{7}$	-1.6565	-6.50
$γ_{8}$	0.6486	1.76
$γ_{9}$	-0.6273	-1.16

Estimation Period:
Sep 29, 2004 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts