V-Lab: Pengrowth Energy Corp MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Pengrowth Energy Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, January 9th, 2020:155.36% (-13.18%)

Analysis last updated: Sunday, March 21, 2021 at 06:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0800	14.86
$β$	0.8085	119.62
$γ$	0.0821	11.10
$λ_{1}$	0.4895	8.90
$λ_{2}$	1.0000	68.06
$λ_{3}$	0.0000	0.00

Estimation Period:
Jul 27, 2004 to Jan 8, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts