V-Lab: Loblaw Cos Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Loblaw Cos Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:17.63% (-0.40%)

Analysis last updated: Saturday, May 4, 2024 at 05:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9021	9.24
$α$	0.0772	6.49
$β$	0.8047	29.29
$γ_{1}$	0.0016	0.06
$γ_{2}$	0.0004	0.01
$γ_{3}$	-0.0390	-1.77
$γ_{4}$	0.0940	4.73
$γ_{5}$	-0.0966	-3.17
$γ_{6}$	0.0324	0.69
$γ_{7}$	0.0428	0.96
$γ_{8}$	-0.0522	-2.13

Estimation Period:
Jan 1, 1990 to May 3, 2024

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Volatility Forecasts