V-Lab: Alstom SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Alstom SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:52.77% (-1.93%)

Analysis last updated: Saturday, April 20, 2024 at 11:16 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1803	6.79
$α$	0.0841	5.90
$β$	0.8691	37.77
$γ_{1}$	0.1275	1.83
$γ_{2}$	-0.2816	-2.54
$γ_{3}$	0.2373	2.99
$γ_{4}$	-0.0845	-1.28
$γ_{5}$	-0.0408	-0.51
$γ_{6}$	0.0711	0.78
$γ_{7}$	0.0635	0.64
$γ_{8}$	-0.1739	-2.09

Estimation Period:
Jun 19, 1998 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts