V-Lab: Saipem SpA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Saipem SpA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:39.65% (-0.69%)

Analysis last updated: Saturday, May 4, 2024 at 12:19 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9450	5.89
$α$	0.1304	7.38
$β$	0.8214	36.79
$γ_{1}$	0.0078	0.26
$γ_{2}$	0.0302	0.69
$γ_{3}$	-0.1072	-3.36
$γ_{4}$	0.1188	3.69
$γ_{5}$	-0.0354	-0.85
$γ_{6}$	-0.0593	-0.93
$γ_{7}$	0.0785	1.25
$γ_{8}$	-0.0483	-1.33

Estimation Period:
Jan 2, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts