V-Lab: Glencore PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Glencore PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.51% (-0.82%)

Analysis last updated: Friday, May 3, 2024 at 03:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8276	5.85
$α$	0.0867	5.83
$β$	0.8904	56.20
$γ_{1}$	-0.0018	-0.90

Estimation Period:
May 18, 2011 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts