V-Lab: Thompson Creek Metals Co Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Thompson Creek Metals Co Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 24th, 2016:50.75% (+1.17%)

Analysis last updated: Saturday, October 22, 2016 at 02:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2305	4.03
$α$	0.1457	4.09
$β$	0.7397	15.04
$γ_{1}$	-0.6662	-1.88
$γ_{2}$	0.8187	1.65
$γ_{3}$	-0.4167	-0.87
$γ_{4}$	0.5105	0.95
$γ_{5}$	-0.1941	-0.44
$γ_{6}$	-0.3226	-1.07
$γ_{7}$	0.8545	3.18
$γ_{8}$	-1.2380	-4.12
$γ_{9}$	1.5187	3.76
$γ_{10}$	-2.1598	-3.94

Estimation Period:
Jul 22, 1999 to Oct 21, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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