V-Lab: ArcelorMittal Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

ArcelorMittal Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:31.10% (-0.91%)

Analysis last updated: Saturday, April 27, 2024 at 10:46 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3822	5.38
$α$	0.0802	7.93
$β$	0.8960	69.30
$γ_{1}$	-0.0143	-1.88
$γ_{2}$	0.0333	2.89
$γ_{3}$	-0.0375	-3.15

Estimation Period:
Aug 7, 1997 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts