V-Lab: CAC40 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CAC40 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 4th, 2021:152.92% (+8.95%)

Analysis last updated: Thursday, December 31, 2020 at 07:53 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7038	13.09
$α$	0.1133	5.99
$β$	0.7632	19.77
$γ_{1}$	-0.0017	-5.17

Estimation Period:
Jan 4, 2000 to Dec 31, 2020

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts