V-Lab: Imperial Oil Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Imperial Oil Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 15th, 2024:18.53% (-0.06%)

Analysis last updated: Wednesday, May 15, 2024 at 01:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6205	6.00
$α$	0.0683	7.10
$β$	0.8993	67.01
$γ_{1}$	-0.0422	-0.92
$γ_{2}$	0.1342	1.94
$γ_{3}$	-0.2237	-4.61
$γ_{4}$	0.2482	6.02
$γ_{5}$	-0.2102	-5.79
$γ_{6}$	0.1338	3.45
$γ_{7}$	-0.0345	-0.81
$γ_{8}$	0.0462	1.12
$γ_{9}$	-0.2227	-3.63

Estimation Period:
Jan 1, 1990 to May 10, 2024

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