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

V-Lab

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V-Lab

Electricite de France SA Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 12th, 2023:0.54% (0.00%)

Analysis last updated: Sunday, June 11, 2023 at 07:57 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0517	6.02
$α$	0.1007	4.40
$β$	0.8389	26.99
$γ_{1}$	0.5313	2.89
$γ_{2}$	-1.0072	-3.36
$γ_{3}$	0.8789	3.88
$γ_{4}$	-0.7362	-3.80
$γ_{5}$	0.7097	3.54
$γ_{6}$	-0.7897	-3.30
$γ_{7}$	0.7946	2.79
$γ_{8}$	-0.5597	-1.41
$γ_{9}$	-1.4725	-1.78

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts