V-Lab: Credito Valtellinese SpA Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Credito Valtellinese SpA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 2nd, 2021:24.10% (-0.02%)

Analysis last updated: Tuesday, June 1, 2021 at 06:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.5433	4.83
$α$	0.2381	7.38
$β$	0.6615	21.31
$γ_{1}$	-0.0286	-0.56
$γ_{2}$	0.0960	1.16
$γ_{3}$	-0.1770	-2.58
$γ_{4}$	0.2170	3.43
$γ_{5}$	-0.1577	-3.19
$γ_{6}$	0.0913	2.30
$γ_{7}$	-0.1091	-3.38
$γ_{8}$	0.0954	4.72

Estimation Period:
Jan 8, 1990 to May 28, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts