V-Lab: Alcatel-Lucent SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Alcatel-Lucent SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 1st, 2016:2.40% (-0.02%)

Analysis last updated: Monday, October 31, 2016 at 06:24 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0530	3.36
$α$	0.0898	7.13
$β$	0.9042	72.56
$γ_{1}$	0.1006	0.87
$γ_{2}$	-0.1611	-0.78
$γ_{3}$	0.1228	0.63
$γ_{4}$	-0.1573	-0.92
$γ_{5}$	0.1162	0.71
$γ_{6}$	0.0914	0.50
$γ_{7}$	-0.4199	-2.53
$γ_{8}$	0.5223	5.36

Estimation Period:
Jan 1, 1990 to Oct 28, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts