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 Monday, April 22nd, 2024:37.21% (-1.29%)

Analysis last updated: Saturday, April 20, 2024 at 09:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0406	5.21
$α$	0.0760	8.00
$β$	0.8854	61.54
$γ_{1}$	0.0510	2.59
$γ_{2}$	-0.0872	-2.93
$γ_{3}$	0.0718	3.44
$γ_{4}$	-0.0751	-3.80
$γ_{5}$	0.0809	3.07
$γ_{6}$	-0.0630	-2.36

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts