V-Lab: Canadian Tire Corp Ltd Spline-GARCH Volatility Analysis

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V-Lab

Canadian Tire Corp Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:19.38% (-1.02%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6075	7.06
$α$	0.1562	7.82
$β$	0.7062	20.20
$γ_{1}$	-0.0478	-1.71
$γ_{2}$	0.0640	1.63
$γ_{3}$	-0.0676	-2.64
$γ_{4}$	0.1099	4.42
$γ_{5}$	-0.1097	-4.11
$γ_{6}$	0.0868	2.83
$γ_{7}$	-0.0335	-0.94
$γ_{8}$	-0.0367	-0.76

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts