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

V-Lab

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V-Lab

Societa Cattolica di Assicurazioni SCRL Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:1.19% (-0.14%)

Analysis last updated: Saturday, August 13, 2022 at 08:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7993	2.33
$α$	0.1940	8.13
$β$	0.7481	30.73
$γ_{1}$	-0.3299	-1.19
$γ_{2}$	0.4390	1.15
$γ_{3}$	0.1024	0.40
$γ_{4}$	-0.5007	-1.95
$γ_{5}$	0.4505	1.86
$γ_{6}$	-0.2402	-0.81
$γ_{7}$	0.1819	0.45
$γ_{8}$	-0.3051	-0.75
$γ_{9}$	0.4566	1.69
$γ_{10}$	-1.6963	-4.91

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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