V-Lab: Rumo SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Rumo SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 2nd, 2015:159.44% (-0.67%)

Analysis last updated: Friday, January 29, 2016 at 03:13 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	5.6117	2.07
$α$	0.0802	2.93
$β$	0.7506	7.84
$γ_{1}$	3.5486	4.92
$γ_{2}$	-5.4566	-5.74
$γ_{3}$	3.0909	6.31
$γ_{4}$	-1.7672	-3.74
$γ_{5}$	1.9101	2.53
$γ_{6}$	-2.2732	-2.81

Estimation Period:
Jun 29, 2004 to Sep 25, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts