V-Lab: Rio Tinto PLC Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Rio Tinto PLC Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, May 7th, 2024:24.33% (-0.49%)

Analysis last updated: Saturday, May 4, 2024 at 08:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8014	5.84
$α$	0.0530	7.37
$β$	0.9216	91.09
$γ_{1}$	-0.0100	-0.31
$γ_{2}$	0.0886	1.91
$γ_{3}$	-0.1822	-6.17
$γ_{4}$	0.1968	6.72
$γ_{5}$	-0.1822	-5.19
$γ_{6}$	0.1405	3.55
$γ_{7}$	-0.0681	-2.19
$γ_{8}$	0.0217	1.11

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts