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

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V-Lab

Rio Tinto PLC Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 10th, 2024:22.87% (-0.26%)

Analysis last updated: Saturday, May 11, 2024 at 01:09 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7664	5.67
$α$	0.0528	7.31
$β$	0.9209	89.10
$γ_{1}$	-0.0237	-0.73
$γ_{2}$	0.1097	2.39
$γ_{3}$	-0.1945	-6.72
$γ_{4}$	0.2050	7.13
$γ_{5}$	-0.1865	-5.36
$γ_{6}$	0.1385	3.47
$γ_{7}$	-0.0531	-1.48
$γ_{8}$	-0.0226	-0.46

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts