V-Lab: Credit Agricole Sud Rhone Alpes Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Credit Agricole Sud Rhone Alpes Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 3rd, 2024:20.13% (-2.07%)

Analysis last updated: Friday, May 3, 2024 at 08:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5874	5.60
$α$	0.2130	8.39
$β$	0.7188	27.63
$γ_{1}$	0.1646	1.55
$γ_{2}$	-0.5002	-2.95
$γ_{3}$	0.5068	3.37
$γ_{4}$	-0.1068	-0.77
$γ_{5}$	-0.1549	-1.28
$γ_{6}$	0.0493	0.39
$γ_{7}$	0.0360	0.31
$γ_{8}$	0.2069	2.06
$γ_{9}$	-0.3818	-3.68
$γ_{10}$	0.2176	2.86

Estimation Period:
Dec 15, 1998 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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