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

V-Lab

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V-Lab

Sirius Resources NL Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, September 11th, 2015:43.60% (+1.11%)

Analysis last updated: Friday, January 29, 2016 at 03:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0004	6.03
$α$	0.1352	2.76
$β$	0.2974	2.30
$γ_{1}$	-0.8061	-1.25
$γ_{2}$	0.7105	0.72
$γ_{3}$	1.5741	1.85
$γ_{4}$	-4.1440	-2.58
$γ_{5}$	4.8814	2.49
$γ_{6}$	-3.6618	-2.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts