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

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V-Lab

Canadian National Railway Co Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:18.85% (-0.72%)

Analysis last updated: Thursday, May 2, 2024 at 02:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2006	5.58
$α$	0.0526	4.95
$β$	0.9030	39.44
$γ_{1}$	0.0568	1.44
$γ_{2}$	-0.1507	-2.38
$γ_{3}$	0.2140	4.29
$γ_{4}$	-0.2387	-5.28
$γ_{5}$	0.1994	4.48
$γ_{6}$	-0.1201	-2.70
$γ_{7}$	0.1075	2.26
$γ_{8}$	-0.2381	-2.89

Estimation Period:
Nov 17, 1995 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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