V-Lab: Alstom SA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Alstom SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:47.85% (-1.37%)

Analysis last updated: Saturday, May 4, 2024 at 09:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1640	6.70
$α$	0.0837	5.91
$β$	0.8706	38.37
$γ_{1}$	0.1224	1.76
$γ_{2}$	-0.2743	-2.47
$γ_{3}$	0.2339	2.93
$γ_{4}$	-0.0827	-1.25
$γ_{5}$	-0.0425	-0.54
$γ_{6}$	0.0753	0.82
$γ_{7}$	0.0563	0.56
$γ_{8}$	-0.1688	-2.00

Estimation Period:
Jun 19, 1998 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts