V-Lab: Dexia SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Dexia SA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 2nd, 2019:345.26% (+3.18%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5864	2.89
$α$	0.1895	12.86
$β$	0.8079	56.81
$γ_{1}$	-0.0444	-0.22
$γ_{2}$	0.0928	0.27
$γ_{3}$	-0.1438	-0.69
$γ_{4}$	0.5175	2.45
$γ_{5}$	-1.8831	-2.77
$γ_{6}$	3.9280	2.46
$γ_{7}$	-4.5784	-2.51
$γ_{8}$	3.9429	3.12

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts