V-Lab: Fibria Celulose SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fibria Celulose SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, January 4th, 2019:21.96% (+1.62%)

Analysis last updated: Thursday, January 3, 2019 at 10:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2339	7.40
$α$	0.0760	3.72
$β$	0.7944	11.51
$γ_{1}$	-0.0114	-0.04
$γ_{2}$	0.2396	0.50
$γ_{3}$	-0.6006	-1.77
$γ_{4}$	0.8332	2.48
$γ_{5}$	-0.6111	-1.78
$γ_{6}$	-0.2522	-0.71
$γ_{7}$	0.7361	2.40

Estimation Period:
Aug 12, 2009 to Dec 28, 2018

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts