V-Lab: Solvay SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Solvay SA Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:46.44% (-1.16%)

Analysis last updated: Friday, May 3, 2024 at 04:50 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0609	5.11
$α$	0.0797	8.34
$β$	0.8832	62.28
$γ_{1}$	0.0503	2.51
$γ_{2}$	-0.0846	-2.79
$γ_{3}$	0.0647	3.07
$γ_{4}$	-0.0568	-3.03
$γ_{5}$	0.0366	1.58
$γ_{6}$	0.0393	0.64

Estimation Period:
Jan 1, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts