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

V-Lab

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V-Lab

Bankia SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 29th, 2021:53.03% (+1.17%)

Analysis last updated: Friday, March 26, 2021 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3405	2.86
$α$	0.1891	5.96
$β$	0.6402	13.49
$γ_{1}$	1.4560	1.47
$γ_{2}$	-4.5036	-3.18
$γ_{3}$	4.5855	5.08
$γ_{4}$	-1.0213	-1.20
$γ_{5}$	-1.8289	-1.64
$γ_{6}$	2.1526	1.98
$γ_{7}$	-0.7284	-0.97
$γ_{8}$	0.0218	0.04
$γ_{9}$	-0.4859	-1.00

Estimation Period:
Jul 20, 2011 to Mar 26, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts