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 Tuesday, December 5th, 2023:13.70% (-0.45%)

Analysis last updated: Monday, December 4, 2023 at 05:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9981	4.84
$α$	0.1026	8.30
$β$	0.8716	69.81
$γ_{1}$	-0.0425	-1.71
$γ_{2}$	0.1083	3.17
$γ_{3}$	-0.1200	-5.58
$γ_{4}$	0.0733	3.01
$γ_{5}$	-0.0234	-0.64

Estimation Period:
Jan 1, 1998 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts