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

V-Lab

FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 9th, 2025:23.88% (+0.32%)

Analysis last updated: Thursday, May 8, 2025 at 04:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5271	7.97
$α$	0.1047	8.72
$β$	0.8737	73.15
$γ_{1}$	0.0350	5.93
$γ_{2}$	-0.0520	-5.72
$γ_{3}$	0.0222	4.40

Estimation Period:
Jan 1, 1998 to May 2, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts