V-Lab: TransAlta Corp MF2-GARCH Volatility Analysis

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V-Lab

TransAlta Corp MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:28.91% (-0.10%)

Analysis last updated: Thursday, May 16, 2024 at 01:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0786	15.49
$β$	0.7403	95.16
$γ$	0.1175	17.13
$λ_{1}$	0.0270	3.70
$λ_{2}$	0.0529	4.41
$λ_{3}$	0.9367	62.98

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

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts