V-Lab: MSCI Europe Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

MSCI Europe Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 2nd, 2023:11.10% (-0.38%)

Analysis last updated: Monday, October 2, 2023 at 03:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0703	7.14
$α$	0.1201	10.78
$β$	0.8605	79.52
$γ_{1}$	0.0003	0.81

Estimation Period:
Dec 30, 1998 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts