V-Lab: FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

|

V-Lab

FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 12th, 2022:13.66% (-0.38%)

Analysis last updated: Friday, December 9, 2022, 05:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9979	4.69
$α$	0.1027	8.21
$β$	0.8734	69.63
$γ_{1}$	-0.0474	-1.76
$γ_{2}$	0.1167	3.14
$γ_{3}$	-0.1196	-4.94
$γ_{4}$	0.0606	2.46
$γ_{5}$	-0.0078	-0.39

Estimation Period:
Jan 1, 1998 to Dec 9, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts