V-Lab: Bankia SA Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Bankia SA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 29th, 2021:31.16% (+2.30%)

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
$ω$	0.3914	3.38
$α$	0.1863	5.81
$β$	0.6107	10.94
$γ_{1}$	3.0774	2.84
$γ_{2}$	-7.0388	-4.52
$γ_{3}$	5.3169	5.63
$γ_{4}$	-0.6428	-0.77
$γ_{5}$	-1.0896	-1.38
$γ_{6}$	-0.5057	-0.67
$γ_{7}$	2.1892	2.13
$γ_{8}$	-1.9204	-1.97
$γ_{9}$	1.9518	1.73
$γ_{10}$	-5.0780	-2.42

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts