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

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V-Lab

Euro Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:6.58% (+0.09%)

Analysis last updated: Friday, December 1, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1182	8.65
$α$	0.0260	8.40
$β$	0.9698	259.44
$γ_{1}$	0.0002	1.38

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts