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

V-Lab

Criteo SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 25th, 2025:47.89% (-0.73%)

Analysis last updated: Friday, August 22, 2025 at 09:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.2741	3.79
$α$	0.2107	3.13
$β$	0.3151	1.51
$γ_{1}$	-0.1966	-0.22
$γ_{2}$	-0.0206	-0.02
$γ_{3}$	1.0906	1.41
$γ_{4}$	-1.7283	-1.89
$γ_{5}$	1.4907	1.63
$γ_{6}$	-1.1081	-1.41
$γ_{7}$	0.4535	0.60
$γ_{8}$	0.0148	0.02
$γ_{9}$	0.5464	0.59
$γ_{10}$	-0.8919	-1.21

Estimation Period:
Oct 30, 2013 to Aug 22, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts