V-Lab: Plum Creek Timber Co Inc Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Plum Creek Timber Co Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, February 22nd, 2016:41.46% (+2.57%)

Analysis last updated: Friday, February 19, 2016 at 10:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1356	4.20
$α$	0.0899	6.09
$β$	0.8636	42.30
$γ_{1}$	0.0384	0.45
$γ_{2}$	-0.0893	-0.65
$γ_{3}$	0.1524	1.48
$γ_{4}$	-0.1913	-2.11
$γ_{5}$	0.0676	0.77
$γ_{6}$	0.2056	2.50
$γ_{7}$	-0.4361	-4.15
$γ_{8}$	0.4191	3.25
$γ_{9}$	-0.2102	-1.87

Estimation Period:
Jan 1, 1990 to Feb 19, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts