V-Lab: Pembina Pipeline Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Pembina Pipeline Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:11.26% (-0.60%)

Analysis last updated: Friday, April 26, 2024 at 02:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2137	5.65
$α$	0.1324	6.13
$β$	0.8104	32.99
$γ_{1}$	-0.0924	-0.92
$γ_{2}$	0.3001	1.95
$γ_{3}$	-0.3816	-3.83
$γ_{4}$	0.2345	2.77
$γ_{5}$	-0.0337	-0.49
$γ_{6}$	-0.0944	-1.39
$γ_{7}$	0.1649	2.24
$γ_{8}$	-0.3119	-3.54

Estimation Period:
Oct 26, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts