V-Lab: CAC 40 Index Asy. Power MEM Volatility Analysis

V-Lab

CAC 40 Index Asy. Power MEM Volatility Analysis

Volatility Prediction for Tuesday, August 16th, 2022:12.44% (-0.59%)

Analysis last updated: Monday, August 15, 2022, 03:31 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0385	35.07
$α$	0.1775	69.54
$β$	0.8037	293.21
$γ$	0.2678	41.47
$δ$	0.9764	29.92

Estimation Period:
Jan 2, 1990 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other CAC 40 Index Analyses
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GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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