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

V-Lab

FTSE MIB Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:17.35% (-0.41%)

Analysis last updated: Friday, August 12, 2022, 05:12 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.0000	0.00
$β$	0.8234	138.08
$γ$	0.1840	21.98
$λ_{1}$	0.0146	3.73
$λ_{2}$	0.0945	3.87
$λ_{3}$	0.8996	35.80

Estimation Period:
Jan 1, 1998 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

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