V-Lab: Vale SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Vale SA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:24.57% (-0.38%)

Analysis last updated: Thursday, May 2, 2024 at 04:23 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4837	5.51
$α$	0.0633	6.14
$β$	0.9156	76.08
$γ_{1}$	0.0034	0.50
$γ_{2}$	0.0072	0.59
$γ_{3}$	-0.0319	-1.82

Estimation Period:
Oct 18, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts