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

V-Lab

FTSE MIB Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, August 15th, 2022:20.52% (-0.63%)

Analysis last updated: Friday, August 12, 2022, 05:10 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	1.1578	5.56
$α$	0.1044	8.27
$β$	0.8738	70.51
$γ_{1}$	-0.0049	-0.26
$γ_{2}$	0.0414	1.50
$γ_{3}$	-0.0837	-4.74
$γ_{4}$	0.1013	3.98

Estimation Period:
Jan 1, 1998 to Aug 12, 2022

News Impact Curve

Volatility Forecasts

Other FTSE MIB Index Analyses
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AGARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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