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

V-Lab

| |

V-Lab

Rio Tinto PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:27.16% (-0.21%)

Analysis last updated: Saturday, April 27, 2024 at 08:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7999	5.85
$α$	0.0530	7.36
$β$	0.9214	90.75
$γ_{1}$	-0.0106	-0.33
$γ_{2}$	0.0899	1.94
$γ_{3}$	-0.1835	-6.21
$γ_{4}$	0.1980	6.75
$γ_{5}$	-0.1831	-5.18
$γ_{6}$	0.1407	3.54
$γ_{7}$	-0.0671	-2.16
$γ_{8}$	0.0204	1.05

Estimation Period:
Jan 1, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts