V-Lab: Fortescue Ltd Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Fortescue Ltd Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:30.40% (+5.57%)

Analysis last updated: Saturday, April 27, 2024 at 07:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1234	3.42
$α$	0.1243	9.25
$β$	0.8055	44.18
$γ_{1}$	-0.1733	-1.10
$γ_{2}$	0.0001	0.00
$γ_{3}$	0.4030	2.94
$γ_{4}$	-0.3548	-2.74
$γ_{5}$	0.1545	1.48
$γ_{6}$	0.1182	1.12
$γ_{7}$	-0.3924	-3.72
$γ_{8}$	0.4665	5.10
$γ_{9}$	-0.3782	-4.35
$γ_{10}$	0.2246	3.43

Estimation Period:
Jan 2, 1996 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts