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, October 5th, 2023:16.76% (-0.73%)

Analysis last updated: Wednesday, October 4, 2023 at 04:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0025	4.86
$α$	0.1031	8.31
$β$	0.8711	69.34
$γ_{1}$	-0.0424	-1.71
$γ_{2}$	0.1087	3.17
$γ_{3}$	-0.1199	-5.69
$γ_{4}$	0.0715	3.49
$γ_{5}$	-0.0192	-1.16

Estimation Period:
Jan 1, 1998 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts