V-Lab: Imperial Oil Ltd Spline-GARCH Volatility Analysis

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V-Lab

Imperial Oil Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:22.26% (+2.41%)

Analysis last updated: Wednesday, May 1, 2024 at 01:42 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6265	6.04
$α$	0.0685	7.12
$β$	0.8992	67.04
$γ_{1}$	-0.0400	-0.87
$γ_{2}$	0.1317	1.90
$γ_{3}$	-0.2234	-4.57
$γ_{4}$	0.2478	5.98
$γ_{5}$	-0.2087	-5.72
$γ_{6}$	0.1309	3.36
$γ_{7}$	-0.0318	-0.75
$γ_{8}$	0.0446	1.09
$γ_{9}$	-0.2128	-3.41

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

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Volatility Forecasts