V-Lab: Atlas Iron Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Atlas Iron Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 19th, 2018:14.86% (-0.61%)

Analysis last updated: Friday, November 16, 2018 at 06:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.4527	4.54
$α$	0.1929	4.44
$β$	0.6622	12.59
$γ_{1}$	0.7009	3.55
$γ_{2}$	-0.9915	-3.41
$γ_{3}$	0.3950	2.13
$γ_{4}$	-0.0148	-0.10
$γ_{5}$	0.0443	0.28
$γ_{6}$	-0.3030	-1.45
$γ_{7}$	-0.6978	-2.30

Estimation Period:
Dec 17, 2004 to Nov 16, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts