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 15th, 2024:27.69% (+1.24%)

Analysis last updated: Saturday, April 13, 2024 at 08:22 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7846	5.69
$α$	0.0528	7.36
$β$	0.9219	91.40
$γ_{1}$	-0.0155	-0.47
$γ_{2}$	0.0971	2.08
$γ_{3}$	-0.1876	-6.34
$γ_{4}$	0.2013	6.83
$γ_{5}$	-0.1857	-5.21
$γ_{6}$	0.1427	3.57
$γ_{7}$	-0.0686	-2.19
$γ_{8}$	0.0211	1.08

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts