V-Lab: AEP Industries Inc Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

AEP Industries Inc Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 23rd, 2017:57.28% (-4.54%)

Analysis last updated: Friday, January 20, 2017 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9933	7.47
$α$	0.1326	5.30
$β$	0.7812	22.84
$γ_{1}$	-0.0864	-1.68
$γ_{2}$	0.1172	1.34
$γ_{3}$	-0.0532	-0.61
$γ_{4}$	0.0176	0.17
$γ_{5}$	0.0860	0.91
$γ_{6}$	-0.1890	-2.23
$γ_{7}$	0.1936	2.09
$γ_{8}$	-0.1223	-1.59

Estimation Period:
Jan 2, 1990 to Jan 20, 2017

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts