V-Lab: Sirius Resources NL Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Sirius Resources NL Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 11th, 2015:56.31% (+0.66%)

Analysis last updated: Friday, January 29, 2016 at 03:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7498	2.81
$α$	0.1103	2.22
$β$	0.1539	1.14
$γ_{1}$	-4.2526	-1.87
$γ_{2}$	6.3359	1.98
$γ_{3}$	-4.3955	-2.28
$γ_{4}$	6.1336	2.59
$γ_{5}$	-6.3199	-2.44
$γ_{6}$	0.6997	0.74
$γ_{7}$	4.3097	2.16
$γ_{8}$	-2.9696	-1.55
$γ_{9}$	0.5149	0.51

Estimation Period:
May 9, 2008 to Sep 4, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts