V-Lab: Toromont Industries Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Toromont Industries Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:20.89% (-1.93%)

Analysis last updated: Saturday, May 4, 2024 at 05:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1703	8.08
$α$	0.1509	8.46
$β$	0.5941	12.41
$γ_{1}$	0.0246	1.11
$γ_{2}$	0.0089	0.28
$γ_{3}$	-0.1079	-4.96
$γ_{4}$	0.1455	6.87
$γ_{5}$	-0.1352	-6.01
$γ_{6}$	0.1163	4.42
$γ_{7}$	-0.0768	-2.42
$γ_{8}$	0.0314	1.24

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts