V-Lab: CPFL Energia SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CPFL Energia SA Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:36.93% (-2.84%)

Analysis last updated: Wednesday, May 8, 2024 at 04:55 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5298	4.27
$α$	0.1532	4.40
$β$	0.8221	24.87
$γ_{1}$	0.2097	0.97
$γ_{2}$	-0.4751	-1.37
$γ_{3}$	0.3907	1.58
$γ_{4}$	0.0046	0.02
$γ_{5}$	-0.7736	-2.93
$γ_{6}$	1.6671	6.74
$γ_{7}$	-1.4822	-5.95
$γ_{8}$	0.3924	1.01
$γ_{9}$	0.0461	0.06

Estimation Period:
Sep 29, 2004 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts