V-Lab: Inter Pipeline Ltd Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Inter Pipeline Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 2nd, 2021:25.17% (-0.82%)

Analysis last updated: Tuesday, November 2, 2021 at 03:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9910	5.89
$α$	0.1756	8.75
$β$	0.7221	23.35
$γ_{1}$	-0.3574	-1.88
$γ_{2}$	0.4381	1.32
$γ_{3}$	0.0641	0.24
$γ_{4}$	-0.3245	-1.19
$γ_{5}$	0.3035	1.08
$γ_{6}$	-0.2177	-1.07
$γ_{7}$	0.2845	2.06
$γ_{8}$	-0.5032	-3.72
$γ_{9}$	0.7326	3.63
$γ_{10}$	-0.9485	-2.94

Estimation Period:
Dec 1, 1998 to Oct 29, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts