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

V-Lab

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V-Lab

FTSE MIB Index Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:15.19% (-0.81%)

Analysis last updated: Friday, July 26, 2024 at 04:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0125	4.88
$α$	0.1021	8.43
$β$	0.8729	71.93
$γ_{1}$	-0.0389	-1.63
$γ_{2}$	0.1023	3.09
$γ_{3}$	-0.1206	-5.87
$γ_{4}$	0.0873	3.76
$γ_{5}$	-0.0663	-1.85

Estimation Period:
Jan 1, 1998 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts