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

V-Lab

| |

V-Lab

AEP Industries Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 23rd, 2017:59.49% (-4.43%)

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
$ω$	0.9730	7.39
$α$	0.1332	5.28
$β$	0.7797	22.66
$γ_{1}$	-0.0977	-1.90
$γ_{2}$	0.1354	1.55
$γ_{3}$	-0.0651	-0.75
$γ_{4}$	0.0262	0.26
$γ_{5}$	0.0792	0.85
$γ_{6}$	-0.1788	-2.36
$γ_{7}$	0.1718	2.85
$γ_{8}$	-0.0725	-0.68

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts