V-Lab: WestJet Airlines Ltd Spline-GARCH Volatility Analysis

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V-Lab

WestJet Airlines Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 16th, 2019:6.92% (-0.44%)

Analysis last updated: Saturday, December 14, 2019 at 01:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6782	3.60
$α$	0.0935	4.00
$β$	0.8779	58.66
$γ_{1}$	0.1070	1.10
$γ_{2}$	-0.2339	-1.54
$γ_{3}$	0.2437	1.96
$γ_{4}$	-0.1835	-1.55
$γ_{5}$	0.0834	0.62
$γ_{6}$	0.0293	0.19
$γ_{7}$	-0.5579	-2.65

Estimation Period:
Aug 2, 1999 to Dec 13, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts