V-Lab: CAC 40 Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CAC 40 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:10.64% (-0.48%)

Analysis last updated: Friday, April 19, 2024 at 03:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9765	6.74
$α$	0.0969	9.28
$β$	0.8691	64.97
$γ_{1}$	-0.0296	-1.00
$γ_{2}$	0.0790	1.64
$γ_{3}$	-0.1276	-3.79
$γ_{4}$	0.1621	6.00
$γ_{5}$	-0.1341	-4.59
$γ_{6}$	0.0381	1.15
$γ_{7}$	0.0755	1.99
$γ_{8}$	-0.1740	-2.85

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts