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

V-Lab

| |

V-Lab

Dexia SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 2nd, 2019:287.09% (+7.74%)

Analysis last updated: Friday, November 29, 2019 at 08:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7733	3.83
$α$	0.1613	9.52
$β$	0.8373	49.05
$γ_{1}$	-0.0775	-0.36
$γ_{2}$	0.1356	0.38
$γ_{3}$	-0.1450	-0.65
$γ_{4}$	0.4797	2.05
$γ_{5}$	-1.7116	-2.31
$γ_{6}$	3.5390	2.06
$γ_{7}$	-4.1479	-2.11
$γ_{8}$	2.6362	2.37

Estimation Period:
Nov 19, 1996 to Nov 29, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts