V-Lab: Jean Coutu Group PJC Inc/The Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Jean Coutu Group PJC Inc/The Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 15th, 2018:4.31% (+0.02%)

Analysis last updated: Monday, May 14, 2018 at 08:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5150	6.45
$α$	0.2374	8.61
$β$	0.4656	9.06
$γ_{1}$	0.0070	0.08
$γ_{2}$	-0.0341	-0.24
$γ_{3}$	-0.0114	-0.11
$γ_{4}$	0.0060	0.08
$γ_{5}$	0.1000	1.51
$γ_{6}$	-0.0763	-0.98
$γ_{7}$	-0.0692	-0.88
$γ_{8}$	0.1275	1.92
$γ_{9}$	0.0628	1.00
$γ_{10}$	-0.6234	-6.58

Estimation Period:
Jan 1, 1990 to May 11, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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