V-Lab: Vale SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Vale SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:28.11% (-0.40%)

Analysis last updated: Friday, April 19, 2024 at 08:24 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2097	3.47
$α$	0.0633	5.81
$β$	0.9108	69.48
$γ_{1}$	-0.0472	-1.09
$γ_{2}$	0.0940	1.59
$γ_{3}$	-0.0847	-2.72
$γ_{4}$	0.0888	2.69
$γ_{5}$	-0.1029	-2.55
$γ_{6}$	0.0735	2.49

Estimation Period:
Oct 18, 1994 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts