V-Lab: Electricite de France SA MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Electricite de France SA MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 12th, 2023:1.54% (-0.01%)

Analysis last updated: Sunday, June 11, 2023 at 07:58 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.1132	12.78
$β$	0.8047	56.73
$γ$	-0.0020	-0.23
$λ_{1}$	0.0010	1.47
$λ_{2}$	0.1920	2.16
$λ_{3}$	0.8080	9.08

Estimation Period:
Nov 18, 2005 to Jun 9, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts