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 Monday, December 12th, 2022:16.30% (-0.33%)

Analysis last updated: Friday, December 9, 2022, 05:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1842	5.70
$α$	0.1039	8.34
$β$	0.8747	71.18
$γ_{1}$	-0.0007	-0.04
$γ_{2}$	0.0335	1.24
$γ_{3}$	-0.0764	-4.44
$γ_{4}$	0.0923	4.01

Estimation Period:
Jan 1, 1998 to Dec 9, 2022

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