V-Lab: PetSmart Inc Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

PetSmart Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 12th, 2015:11.71% (0.00%)

Analysis last updated: Friday, January 29, 2016 at 02:08 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2164	6.90
$α$	0.0739	5.06
$β$	0.8590	29.02
$γ_{1}$	0.1287	3.16
$γ_{2}$	-0.2466	-3.80
$γ_{3}$	0.1376	2.15
$γ_{4}$	0.0190	0.29
$γ_{5}$	-0.0724	-1.12
$γ_{6}$	0.0145	0.15

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts