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

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V-Lab

Saputo Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:28.13% (+0.99%)

Analysis last updated: Friday, April 26, 2024 at 02:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6703	7.10
$α$	0.1785	7.27
$β$	0.4904	8.79
$γ_{1}$	-0.0207	-0.47
$γ_{2}$	0.0006	0.01
$γ_{3}$	0.1468	3.64
$γ_{4}$	-0.2990	-9.44
$γ_{5}$	0.3071	8.61
$γ_{6}$	-0.1908	-4.77
$γ_{7}$	0.0912	2.15
$γ_{8}$	-0.0573	-1.70

Estimation Period:
Oct 15, 1997 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts