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

V-Lab

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V-Lab

Credito Valtellinese SpA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, June 2nd, 2021:9.54% (-0.06%)

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
$ω$	0.5531	4.71
$α$	0.2504	7.58
$β$	0.6529	21.22
$γ_{1}$	-0.0324	-0.64
$γ_{2}$	0.1031	1.24
$γ_{3}$	-0.1827	-2.63
$γ_{4}$	0.2188	3.41
$γ_{5}$	-0.1494	-2.97
$γ_{6}$	0.0601	1.50
$γ_{7}$	-0.0262	-0.73
$γ_{8}$	-0.1611	-3.08

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts