V-Lab: Turquoise Hill Resources Ltd Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Turquoise Hill Resources Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 20th, 2022:18.00% (-0.08%)

Analysis last updated: Tuesday, December 20, 2022 at 08:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9926	4.37
$α$	0.1031	6.45
$β$	0.8206	30.42
$γ_{1}$	-0.1356	-2.78
$γ_{2}$	0.1453	1.86
$γ_{3}$	0.0795	1.16
$γ_{4}$	-0.1871	-2.83
$γ_{5}$	0.1399	2.21
$γ_{6}$	-0.0901	-1.61
$γ_{7}$	0.2495	4.53
$γ_{8}$	-0.6588	-7.82

Estimation Period:
Jul 9, 1996 to Dec 16, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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