V-Lab: PetSmart Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

PetSmart Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 12th, 2015:14.45% (0.00%)

Analysis last updated: Friday, January 29, 2016 at 03:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2102	7.12
$α$	0.0740	4.90
$β$	0.8499	26.23
$γ_{1}$	0.1282	3.27
$γ_{2}$	-0.2447	-3.95
$γ_{3}$	0.1335	2.23
$γ_{4}$	0.0307	0.52
$γ_{5}$	-0.1033	-2.10
$γ_{6}$	0.0945	2.68

Estimation Period:
Jul 23, 1993 to Mar 6, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts