V-Lab: Russel Metals Inc Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Russel Metals Inc Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 9th, 2024:27.83% (-1.11%)

Analysis last updated: Thursday, May 9, 2024 at 12:48 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.6300	6.90
$α$	0.1347	8.83
$β$	0.7289	23.52
$γ_{1}$	-0.1794	-4.59
$γ_{2}$	0.2609	4.54
$γ_{3}$	-0.1585	-3.73
$γ_{4}$	0.0746	1.65
$γ_{5}$	0.0985	1.94
$γ_{6}$	-0.2345	-4.24
$γ_{7}$	0.2757	5.24
$γ_{8}$	-0.2252	-4.25
$γ_{9}$	0.1502	2.93
$γ_{10}$	-0.1398	-1.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts