V-Lab: Vinci SA Spline-GARCH Volatility Analysis

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V-Lab

Vinci SA Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:11.61% (-0.12%)

Analysis last updated: Thursday, May 16, 2024 at 11:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.4043	7.26
$α$	0.0933	8.70
$β$	0.8496	50.35
$γ_{1}$	0.0414	1.35
$γ_{2}$	-0.0608	-1.21
$γ_{3}$	-0.0098	-0.27
$γ_{4}$	0.0947	3.33
$γ_{5}$	-0.1141	-4.60
$γ_{6}$	0.0510	1.97
$γ_{7}$	0.0475	1.58
$γ_{8}$	-0.1794	-3.20

Estimation Period:
Jan 1, 1990 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts