V-Lab: FTSE MIB Index MF2-GARCH Volatility Analysis

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V-Lab

FTSE MIB Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:18.82% (+1.46%)

Analysis last updated: Tuesday, October 3, 2023 at 04:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0000	0.00
$β$	0.8174	133.68
$γ$	0.1867	22.05
$λ_{1}$	0.0141	3.65
$λ_{2}$	0.0910	3.97
$λ_{3}$	0.9029	38.18

Estimation Period:
Jan 1, 1998 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts