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

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V-Lab

FTSE MIB Index Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, March 23rd, 2023:32.16% (-1.90%)

Analysis last updated: Wednesday, March 22, 2023, 05:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9953	4.77
$α$	0.1034	8.22
$β$	0.8713	68.39
$γ_{1}$	-0.0450	-1.73
$γ_{2}$	0.1113	3.09
$γ_{3}$	-0.1121	-4.75
$γ_{4}$	0.0458	1.73
$γ_{5}$	0.0393	1.00

Estimation Period:
Jan 1, 1998 to Mar 17, 2023

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Volatility Forecasts

Volatility Forecasts