V-Lab: Saputo Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Saputo Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 21st, 2024:20.39% (+1.00%)

Analysis last updated: Saturday, May 18, 2024 at 04:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7330	7.62
$α$	0.1886	7.28
$β$	0.4440	7.65
$γ_{1}$	0.0304	0.51
$γ_{2}$	-0.1267	-1.41
$γ_{3}$	0.3045	5.47
$γ_{4}$	-0.3872	-8.23
$γ_{5}$	0.2285	5.24
$γ_{6}$	-0.0005	-0.01
$γ_{7}$	-0.0949	-1.85
$γ_{8}$	0.1100	1.65
$γ_{9}$	-0.1937	-2.04

Estimation Period:
Oct 15, 1997 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts