V-Lab: Pembina Pipeline Corp Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Pembina Pipeline Corp Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:15.60% (+0.70%)

Analysis last updated: Thursday, May 9, 2024 at 12:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1830	5.52
$α$	0.1322	6.16
$β$	0.8111	33.28
$γ_{1}$	-0.1026	-1.03
$γ_{2}$	0.3136	2.06
$γ_{3}$	-0.3867	-3.90
$γ_{4}$	0.2380	2.82
$γ_{5}$	-0.0375	-0.55
$γ_{6}$	-0.0900	-1.32
$γ_{7}$	0.1593	2.15
$γ_{8}$	-0.3028	-3.42

Estimation Period:
Oct 26, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts