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

V-Lab

FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:15.92% (-0.75%)

Analysis last updated: Friday, May 30, 2025 at 04:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5278	8.08
$α$	0.1060	8.81
$β$	0.8715	73.08
$γ_{1}$	0.0349	6.07
$γ_{2}$	-0.0520	-5.87
$γ_{3}$	0.0224	4.54

Estimation Period:
Jan 1, 1998 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts