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

V-Lab

| |

V-Lab

Solvay SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:39.90% (+0.76%)

Analysis last updated: Friday, April 19, 2024 at 07:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9235	4.67
$α$	0.0790	7.94
$β$	0.8791	57.91
$γ_{1}$	0.0133	0.25
$γ_{2}$	0.0281	0.36
$γ_{3}$	-0.1146	-2.32
$γ_{4}$	0.1281	2.77
$γ_{5}$	-0.0589	-1.23
$γ_{6}$	-0.0233	-0.51
$γ_{7}$	0.0254	0.52
$γ_{8}$	0.0663	0.93
$γ_{9}$	-0.1132	-1.55

Estimation Period:
Jan 1, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts