V-Lab: Enerplus Corp Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Enerplus Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:20.03% (-0.14%)

Analysis last updated: Thursday, May 9, 2024 at 12:44 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2673	4.11
$α$	0.0928	7.17
$β$	0.8769	52.73
$γ_{1}$	-0.0454	-0.87
$γ_{2}$	0.1347	1.78
$γ_{3}$	-0.1932	-3.04
$γ_{4}$	0.2154	3.07
$γ_{5}$	-0.1999	-2.80
$γ_{6}$	0.1663	2.49
$γ_{7}$	-0.1161	-2.33
$γ_{8}$	0.0708	1.70
$γ_{9}$	-0.2127	-3.07

Estimation Period:
Jan 22, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts