V-Lab: Nexen Corp Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Nexen Corp Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:15.87% (-0.76%)

Analysis last updated: Thursday, May 2, 2024 at 11:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8764	7.81
$α$	0.1682	9.07
$β$	0.7109	25.34
$γ_{1}$	-0.0077	-0.24
$γ_{2}$	0.0387	0.83
$γ_{3}$	-0.1334	-4.11
$γ_{4}$	0.1826	6.04
$γ_{5}$	-0.0933	-2.69
$γ_{6}$	-0.0325	-0.84
$γ_{7}$	0.1001	2.66
$γ_{8}$	-0.0777	-2.02
$γ_{9}$	0.0337	1.03

Estimation Period:
Jan 3, 1990 to Apr 30, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts