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

V-Lab

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V-Lab

FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, February 18th, 2025:13.73% (+0.30%)

Analysis last updated: Monday, February 17, 2025 at 05:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5256	8.02
$α$	0.1006	8.63
$β$	0.8782	75.62
$γ_{1}$	0.0362	5.98
$γ_{2}$	-0.0541	-5.79
$γ_{3}$	0.0234	4.52

Estimation Period:
Jan 1, 1998 to Feb 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts