V-Lab: FTSE 100 Implied Volatility Index 30 Days Zero Slope Spline-GARCH Volatility Analysis

V-Lab

FTSE 100 Implied Volatility Index 30 Days Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, May 30th, 2025:120.78% (-22.28%)

Analysis last updated: Friday, May 30, 2025 at 11:20 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7903	7.07
$α$	0.1502	5.38
$β$	0.6495	12.70
$γ_{1}$	-0.0004	-0.00
$γ_{2}$	-0.0405	-0.32
$γ_{3}$	0.1145	1.39
$γ_{4}$	-0.0974	-1.24
$γ_{5}$	-0.0233	-0.25
$γ_{6}$	0.1321	1.21
$γ_{7}$	-0.2154	-2.00
$γ_{8}$	0.2682	2.89
$γ_{9}$	-0.2925	-3.34
$γ_{10}$	0.2428	3.70

Estimation Period:
Jan 3, 2000 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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