V-Lab: Mount Gibson Iron Ltd Spline-GARCH Volatility Analysis

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V-Lab

Mount Gibson Iron Ltd Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:34.59% (-0.90%)

Analysis last updated: Wednesday, May 8, 2024 at 08:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	2.5273	2.47
$α$	0.0804	7.32
$β$	0.8696	43.31
$γ_{1}$	0.7729	4.61
$γ_{2}$	-1.2416	-5.25
$γ_{3}$	0.6327	4.65
$γ_{4}$	-0.0753	-0.75
$γ_{5}$	-0.2417	-2.55
$γ_{6}$	0.3265	2.77
$γ_{7}$	-0.3275	-2.30
$γ_{8}$	0.2027	1.53
$γ_{9}$	0.0436	0.39
$γ_{10}$	-0.3271	-2.21

Estimation Period:
Jan 12, 1990 to May 3, 2024

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Volatility Forecasts

Volatility Forecasts