V-Lab: CAC 40 Index Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CAC 40 Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 7th, 2024:17.07% (-0.27%)

Analysis last updated: Friday, October 4, 2024 at 03:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9837	6.72
$α$	0.0986	9.45
$β$	0.8667	64.43
$γ_{1}$	-0.0261	-0.92
$γ_{2}$	0.0721	1.57
$γ_{3}$	-0.1211	-3.72
$γ_{4}$	0.1586	6.13
$γ_{5}$	-0.1386	-5.16
$γ_{6}$	0.0526	1.69
$γ_{7}$	0.0563	1.54
$γ_{8}$	-0.1629	-2.51

Estimation Period:
Jan 2, 1990 to Oct 4, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts