V-Lab: ArcelorMittal MF2-GARCH Volatility Analysis

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V-Lab

ArcelorMittal MF2-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:29.91% (-0.98%)

Analysis last updated: Saturday, May 11, 2024 at 03:02 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0369	11.85
$β$	0.8987	177.02
$γ$	0.0697	14.96
$λ_{1}$	0.0203	6.35
$λ_{2}$	0.0208	5.80
$λ_{3}$	0.9770	248.91

Estimation Period:
Aug 7, 1997 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts