V-Lab: Societa Cattolica di Assicurazioni SCRL Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Societa Cattolica di Assicurazioni SCRL Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:3.22% (-0.06%)

Analysis last updated: Saturday, August 13, 2022 at 08:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0673	2.02
$α$	0.1800	8.82
$β$	0.8049	41.10
$γ_{1}$	-0.3120	-1.73
$γ_{2}$	0.5378	2.13
$γ_{3}$	-0.3221	-2.23
$γ_{4}$	0.1227	0.93
$γ_{5}$	-0.0492	-0.34
$γ_{6}$	0.0897	0.51
$γ_{7}$	-0.3820	-1.95
$γ_{8}$	0.5638	3.59

Estimation Period:
Nov 17, 2000 to Aug 12, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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