V-Lab: Lafarge SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Lafarge SA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 21st, 2015:13.11% (-0.14%)

Analysis last updated: Friday, January 29, 2016 at 03:32 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0401	6.83
$α$	0.0664	7.90
$β$	0.9052	69.53
$γ_{1}$	-0.0541	-1.12
$γ_{2}$	0.1507	2.00
$γ_{3}$	-0.2022	-3.86
$γ_{4}$	0.1463	2.94
$γ_{5}$	0.0049	0.10
$γ_{6}$	-0.0994	-2.03
$γ_{7}$	0.0158	0.22

Estimation Period:
Jan 1, 1990 to Oct 16, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts