V-Lab: Rio Tinto PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Rio Tinto PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:27.75% (-0.74%)

Analysis last updated: Saturday, April 20, 2024 at 09:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7760	5.64
$α$	0.0530	7.34
$β$	0.9211	90.14
$γ_{1}$	-0.0150	-0.46
$γ_{2}$	0.0953	2.04
$γ_{3}$	-0.1848	-6.28
$γ_{4}$	0.1984	6.81
$γ_{5}$	-0.1833	-5.22
$γ_{6}$	0.1410	3.57
$γ_{7}$	-0.0671	-2.17
$γ_{8}$	0.0202	1.04

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts