V-Lab: FTSE World Italy Large Cap Index EGARCH Volatility Analysis

V-Lab

FTSE World Italy Large Cap Index EGARCH Volatility Analysis

Volatility Prediction for Tuesday, November 23rd, 2021:14.91% (-0.75%)

Analysis last updated: Tuesday, November 23, 2021, 05:18 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0142	5.46
$α$	0.1545	31.42
$β$	0.9805	870.03
$γ$	-0.0929	-22.17

Estimation Period:
Jan 1, 1998 to Nov 19, 2021

News Impact Curve

Volatility Forecasts

Other FTSE World Italy Large Cap Index Analyses
GARCH
GJR-GARCH
APARCH
AGARCH
GAS-GARCH Student T
MF2-GARCH

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