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

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V-Lab

Safran SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:19.71% (+0.12%)

Analysis last updated: Saturday, April 20, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1299	3.41
$α$	0.0817	8.68
$β$	0.8851	70.51
$γ_{1}$	-0.0201	-0.44
$γ_{2}$	0.1402	2.29
$γ_{3}$	-0.2701	-7.18
$γ_{4}$	0.2730	7.35
$γ_{5}$	-0.2318	-6.71
$γ_{6}$	0.1755	5.46
$γ_{7}$	-0.0817	-2.84
$γ_{8}$	0.0162	0.74

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts