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 Wednesday, January 22nd, 2025:14.94% (-0.63%)

Analysis last updated: Tuesday, January 21, 2025 at 05:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5249	7.99
$α$	0.1008	8.63
$β$	0.8781	75.56
$γ_{1}$	0.0363	5.92
$γ_{2}$	-0.0540	-5.70
$γ_{3}$	0.0231	4.41

Estimation Period:
Jan 1, 1998 to Jan 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts