V-Lab: Enerplus Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Enerplus Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:16.76% (-0.50%)

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
$ω$	1.2127	3.91
$α$	0.0934	7.18
$β$	0.8763	52.53
$γ_{1}$	-0.0586	-1.10
$γ_{2}$	0.1531	1.99
$γ_{3}$	-0.2008	-3.14
$γ_{4}$	0.2192	3.11
$γ_{5}$	-0.2019	-2.81
$γ_{6}$	0.1674	2.50
$γ_{7}$	-0.1173	-2.36
$γ_{8}$	0.0746	1.80
$γ_{9}$	-0.2250	-3.39

Estimation Period:
Jan 22, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts