V-Lab: Alumina Ltd MF2-GARCH Volatility Analysis

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V-Lab

Alumina Ltd MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:39.68% (-0.77%)

Analysis last updated: Saturday, May 11, 2024 at 12:26 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	61
$α$	0.0466	17.29
$β$	0.8978	170.39
$γ$	0.0418	11.21
$λ_{1}$	0.0110	6.35
$λ_{2}$	0.0174	5.52
$λ_{3}$	0.9807	278.28

Estimation Period:
Jan 1, 1990 to May 3, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts