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 Thursday, March 6th, 2025:23.74% (+1.16%)

Analysis last updated: Wednesday, March 5, 2025 at 05:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5242	8.02
$α$	0.1006	8.63
$β$	0.8783	75.65
$γ_{1}$	0.0361	5.99
$γ_{2}$	-0.0539	-5.80
$γ_{3}$	0.0234	4.55

Estimation Period:
Jan 1, 1998 to Feb 28, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts