V-Lab: Euro Zero Slope Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

Euro Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.35% (-0.02%)

Analysis last updated: Friday, January 27, 2023, 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1257	8.55
$α$	0.0264	8.29
$β$	0.9694	251.02
$γ_{1}$	0.0002	1.41

Estimation Period:
Jan 2, 1990 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts