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 Monday, December 23rd, 2024:15.05% (-0.69%)

Analysis last updated: Friday, December 20, 2024 at 05:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5265	7.98
$α$	0.1010	8.63
$β$	0.8779	75.40
$γ_{1}$	0.0365	5.90
$γ_{2}$	-0.0543	-5.68
$γ_{3}$	0.0232	4.38

Estimation Period:
Jan 1, 1998 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts