V-Lab: Electricite de France SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Electricite de France SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 12th, 2023:1.34% (-0.01%)

Analysis last updated: Sunday, June 11, 2023 at 07:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.3145	3.29
$α$	0.1186	5.86
$β$	0.8672	51.63
$γ_{1}$	0.5240	1.18
$γ_{2}$	-1.0085	-1.49
$γ_{3}$	0.8184	1.88
$γ_{4}$	-0.4865	-1.19
$γ_{5}$	0.1646	0.37
$γ_{6}$	0.1918	0.43
$γ_{7}$	-0.7265	-1.74
$γ_{8}$	1.4763	2.71
$γ_{9}$	-2.5860	-4.32
$γ_{10}$	2.6325	6.80

Estimation Period:
Nov 18, 2005 to Jun 9, 2023

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Volatility Forecasts