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

V-Lab

FTSE MIB Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:14.41% (-0.26%)

Analysis last updated: Friday, June 20, 2025 at 04:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0458	5.07
$α$	0.1089	8.75
$β$	0.8642	70.02
$γ_{1}$	-0.0317	-1.43
$γ_{2}$	0.0890	2.87
$γ_{3}$	-0.1114	-5.94
$γ_{4}$	0.0842	4.07
$γ_{5}$	-0.0687	-1.90

Estimation Period:
Jan 1, 1998 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts