V-Lab: Vivendi SE Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Vivendi SE Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:15.41% (-0.45%)

Analysis last updated: Saturday, April 20, 2024 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8735	7.66
$α$	0.0733	6.76
$β$	0.8623	40.35
$γ_{1}$	0.0739	1.93
$γ_{2}$	-0.1195	-2.05
$γ_{3}$	0.1292	2.93
$γ_{4}$	-0.2612	-6.30
$γ_{5}$	0.3482	8.78
$γ_{6}$	-0.2469	-4.67
$γ_{7}$	0.0888	1.19
$γ_{8}$	-0.0236	-0.29
$γ_{9}$	0.0780	1.03
$γ_{10}$	-0.2593	-1.49

Estimation Period:
Jan 1, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts