V-Lab: Canadian Pacific Kansas City Ltd Spline-GARCH Volatility Analysis

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V-Lab

Canadian Pacific Kansas City Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:29.80% (-1.84%)

Analysis last updated: Friday, April 26, 2024 at 02:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3984	4.22
$α$	0.0716	3.64
$β$	0.8726	30.23
$γ_{1}$	0.0910	0.96
$γ_{2}$	0.0292	0.21
$γ_{3}$	-0.3496	-3.58
$γ_{4}$	0.4413	4.63
$γ_{5}$	-0.3674	-4.37
$γ_{6}$	0.2430	2.77
$γ_{7}$	-0.0751	-0.73
$γ_{8}$	-0.1734	-1.26

Estimation Period:
Aug 21, 2001 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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