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 Friday, November 22nd, 2024:17.29% (-0.85%)

Analysis last updated: Thursday, November 21, 2024 at 05:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5283	7.94
$α$	0.1013	8.64
$β$	0.8778	75.34
$γ_{1}$	0.0367	5.83
$γ_{2}$	-0.0544	-5.60
$γ_{3}$	0.0230	4.28

Estimation Period:
Jan 1, 1998 to Nov 15, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts