V-Lab: Veresen Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Veresen Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2017:19.56% (+5.63%)

Analysis last updated: Wednesday, October 4, 2017 at 08:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8151	5.15
$α$	0.1698	6.83
$β$	0.6694	16.98
$γ_{1}$	0.0015	0.01
$γ_{2}$	0.0266	0.09
$γ_{3}$	0.1119	0.55
$γ_{4}$	-0.0663	-0.28
$γ_{5}$	-0.2916	-0.87
$γ_{6}$	0.3307	0.91
$γ_{7}$	-0.1866	-0.72
$γ_{8}$	0.1766	1.01
$γ_{9}$	0.0767	0.44
$γ_{10}$	-1.2127	-4.43

Estimation Period:
Jan 7, 1998 to Sep 29, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts