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 Thursday, March 23rd, 2023:31.01% (-1.95%)

Analysis last updated: Wednesday, March 22, 2023, 05:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9977	4.71
$α$	0.1036	8.26
$β$	0.8720	69.13
$γ_{1}$	-0.0464	-1.76
$γ_{2}$	0.1156	3.19
$γ_{3}$	-0.1226	-5.33
$γ_{4}$	0.0699	3.02
$γ_{5}$	-0.0173	-0.92

Estimation Period:
Jan 1, 1998 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts