V-Lab: Anglo American PLC Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Anglo American PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:74.77% (-5.57%)

Analysis last updated: Friday, May 3, 2024 at 02:53 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8370	5.54
$α$	0.1116	8.44
$β$	0.8406	54.75
$γ_{1}$	-0.1207	-1.40
$γ_{2}$	0.2115	1.55
$γ_{3}$	-0.1618	-1.91
$γ_{4}$	0.0737	1.12
$γ_{5}$	0.0966	1.66
$γ_{6}$	-0.2365	-4.39
$γ_{7}$	0.2569	4.34
$γ_{8}$	-0.2256	-3.62
$γ_{9}$	0.2029	3.57
$γ_{10}$	-0.1429	-3.64

Estimation Period:
Jan 2, 1991 to Apr 26, 2024

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Volatility Forecasts

Volatility Forecasts