V-Lab: Fortescue Ltd Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Fortescue Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.90% (+1.45%)

Analysis last updated: Saturday, April 20, 2024 at 08:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1426	3.46
$α$	0.1245	9.31
$β$	0.8071	44.92
$γ_{1}$	-0.1717	-1.09
$γ_{2}$	-0.0007	-0.00
$γ_{3}$	0.4005	2.89
$γ_{4}$	-0.3500	-2.68
$γ_{5}$	0.1468	1.39
$γ_{6}$	0.1271	1.18
$γ_{7}$	-0.3980	-3.70
$γ_{8}$	0.4662	5.04
$γ_{9}$	-0.3738	-4.25
$γ_{10}$	0.2196	3.32

Estimation Period:
Jan 2, 1996 to Apr 19, 2024

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