V-Lab: Canadian National Railway Co MF2-GARCH Volatility Analysis

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V-Lab

Canadian National Railway Co MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:22.62% (-0.62%)

Analysis last updated: Friday, May 10, 2024 at 10:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	71
$α$	0.0167	10.41
$β$	0.9149	197.13
$γ$	0.0624	19.63
$λ_{1}$	0.0103	3.73
$λ_{2}$	0.0201	3.36
$λ_{3}$	0.9756	135.73

Estimation Period:
Nov 20, 1996 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts